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| 論文名稱 | Idiosyncratic volatility and excess Return: Evidence from the Greater China region |
| 發表日期 | 2016-11-30 |
| 論文收錄分類 | SSCI |
| 所有作者 | Li-Hsun Wang, Chu-Hsiung Lin, Jui-Heng Kang, Hung-Gay Fung |
| 作者順序 | 第一作者 |
| 通訊作者 | 否 |
| 刊物名稱 | Finance Research Letters |
| 發表卷數 | 19 |
| 是否具有審稿制度 | 是 |
| 發表期數 | November |
| 期刊或學報出版地國別/地區 | NATUSA-美國 |
| 發表年份 | 2016 |
| 發表月份 | 11 |
| 發表形式 | 紙本及電子期刊 |
| 所屬計劃案 | 無 |
| 可公開文檔 |
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[摘要] :
This study uses monthly data from the Greater China region from 1996 to 2010 to exam- ine the relation between idiosyncratic volatility (IV) and excess returns (ER). We show an insignificant IV-ER relation in the Hong Kong and Taiwan stock markets. A positive rela- tion is found in the Shanghai stock market, but the positive relation disappears after the market liberalization in April 2005. Our finding supports Merton’s (1987) theory that ex- cess return and idiosyncratic volatility are positively related when asset diversification is restricted.
[英文摘要] :
This study uses monthly data from the Greater China region from 1996 to 2010 to exam- ine the relation between idiosyncratic volatility (IV) and excess returns (ER). We show an insignificant IV-ER relation in the Hong Kong and Taiwan stock markets. A positive rela- tion is found in the Shanghai stock market, but the positive relation disappears after the market liberalization in April 2005. Our finding supports Merton’s (1987) theory that ex- cess return and idiosyncratic volatility are positively related when asset diversification is restricted.
[參考文獻] :
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