1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
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Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/10953
DC FieldValueLanguage
dc.contributor.authorAslanidis, Nektarios-
dc.contributor.authorChristiansen, Charlotte-
dc.contributor.authorLambertides, Neophytos-
dc.contributor.authorSavva, Christos S.-
dc.date.accessioned2018-04-19T09:11:48Z-
dc.date.available2018-04-19T09:11:48Z-
dc.date.issued2019-02-
dc.identifier.citationReview of Quantitative Finance and Accounting, 2019, vol. 52, no. 2, pp. 381–401en_US
dc.identifier.issn0924865X-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/10953-
dc.description.abstractWe analyze the cross-sectional relation between expected idiosyncratic volatility and stock returns. The expected idiosyncratic volatility is conditioned on macro-finance factors as well as traditional asset pricing factors. The macro-finance factors are constructed from a large set of macroeconomic and financial variables. Our results show that the negative relation between expected idiosyncratic volatility and stock returns reverses to a positive one when accounting for the macro-finance effects. Portfolio analysis shows that the positive relation is economically important. The relation between expected idiosyncratic volatility and returns is not affected by business cycle variations. The empirical results are highly robust.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofReview of Quantitative Finance and Accountingen_US
dc.rights© Springeren_US
dc.subjectBusiness cycleen_US
dc.subjectIdiosyncratic volatility puzzleen_US
dc.subjectMacro-finance factorsen_US
dc.titleIdiosyncratic volatility puzzle: influence of macro-finance factorsen_US
dc.typeArticleen_US
dc.collaborationAvinguda Universitat 1en_US
dc.collaborationAarhus Universityen_US
dc.collaborationCyprus University of Technologyen_US
dc.collaborationLund Universityen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countrySpainen_US
dc.countryDenmarken_US
dc.countrySwedenen_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1007/s11156-018-0713-xen_US
dc.relation.issue2en_US
dc.relation.volume52en_US
cut.common.academicyear2018-2019en_US
dc.identifier.spage381en_US
dc.identifier.epage401en_US
item.openairetypearticle-
item.cerifentitytypePublications-
item.fulltextNo Fulltext-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.languageiso639-1en-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.orcid0000-0003-2864-1793-
crisitem.author.orcid0000-0001-6562-4816-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.journal.journalissn1573-7179-
crisitem.journal.publisherSpringer Nature-
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