Average Idiosyncratic Volatility in G7 Countries

By Hui Guo, R. Savickas. 2004

204 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/58cc6ea59004ccc71fbead57c4f843a3bbf41540

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Zhanhui Chen
2. Changling Chen
3. Paul J. Irvine
4. Jeffrey Pontiff
5. Ralitsa Petkova
6. R. D. McLean

In Finance

1. Zhanhui Chen
2. Ranjini Jha
3. Changling Chen
4. Paul J. Irvine
5. Jeffrey Pontiff
6. A. Huang
7. Ralitsa Petkova
8. R. D. McLean

Citations in the corpus

• High idiosyncratic volatility and low returns: International and further U.S. evidence (2008, unknown): “Our results are related to a literature that investigates if idiosyncratic volatility can predict future aggregate market returns (see, for example, Goyal and Santa-Clara, 2003; Bali et al., 2005; Wei and Zhang, 2005; Guo and Savickas, 2007).”
• Why Are U.S. Stocks More Volatile (2012, unknown): “It is well known that a determinant of illiquidity, the bid-ask spread, biases estimates of systematic risk downward and estimates of idiosyncratic risk upwards (see, for example, Han and Lesmond (2010)).”
• Does Idiosyncratic Volatility Proxy for Risk Exposure (2012, background): “8 Guo and Savickas (2008) examine a predictive regression that contains AV and aggregate market variance.”
• Multifactor models and their consistency with the ICAPM (2012, unknown): “…ICAPM over the cross-section of stock returns includes Shanken (1990), Brennan, Wang, and Xia (2004), Ang, Hodrick, Xing, and Zhang (2006), Gerard and Wu (2006), Hahn and Lee (2006), Lo and Wang (2006), Petkova (2006), Bali (2008), Guo and Savickas (2008), Ozoguz (2009), and Bali and Engle (2010).”
• Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion (2012, background): “3Explanations for the increasing trend in idiosyncratic return volatility before the 2000s include the following: earnings uncertainty (Wei and Zhang (2006)), cash flow volatility due to elevated economy-wide market competition (Irvine and Pontiff (2009)), earnings quality (Rajgopal and Venkatachala”
• Aggregate Idiosyncratic Volatility (2012, unknown): “3In a study focusing on the predictive relation between idiosyncratic volatilities and aggregate returns, Guo and Savickas (2008) point out there is no significant trend in idiosyncratic volatility for the G7 countries, and that these volatilities are highly correlated with U.”
• Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition (2009, background): “Idiosyncratic volatility trends for the G-7 countries are the value-weighted trends from Guo and Savickas (2004). GCI competitiveness rank is the rank of a country in the World Economic Forum’s Global Competitiveness Index in 2003.”
• Predictability of Currency Carry Trades and Asset Pricing Implications (2013, unknown): “For each country, equity volatility for month t is computed as the square root of the average squared daily log change over the month of the country's equity index (total return index, in local currency), and s t is the average across these monthly equity volatilities for all countries in the sample”