Idiosyncratic volatility and the expected stock returns for exploring the relationship with panel threshold regression

DOI10.1007/S10690-012-9161-0MaRDI QIDQ356766zbMATH OpenOpenAlexFDO

Authors Mu-Shun Wang

Publication date 26 July 2013

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-012-9161-0

zbMATH Keywords

idiosyncratic riskexpected stock returnFama and French multifactor modelpanel threshold regression modelTaiwanvolatility index

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Portfolio theory (91G10)

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Cites work

• Common risk factors in the returns on stocks and bonds
• Economic tracking portfolios
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Testing for unit roots in heterogeneous panels.
• Threshold effects in non-dynamic panels: Estimation, testing, and inference
• Unit root tests in panel data: asymptotic and finite-sample properties

Cited in

(2)

• Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility
• Idiosyncratic volatility and stock returns: a Fama-French five-factor model perspective

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