Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/181763 
Year of Publication: 
2018
Series/Report no.: 
SAFE Working Paper No. 228
Publisher: 
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe, Frankfurt a. M.
Abstract: 
The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed on the network based on Granger causality test have lower expected returns, not related to idiosyncratic volatility. Secondly, empirical evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor.
Subjects: 
Idiosyncratic volatility puzzle
Networks
Expected Returns
Granger Causality
JEL: 
G10
G12
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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