Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/194744 
Year of Publication: 
2017
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 5 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2017 [Pages:] 1-20
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999-2014. Univariate and bivariate sorting, as well as cross-section regressions, suggest a positive relation between idiosyncratic volatility and future stock returns. However, this relation is sensitive to the choices of portfolio weighting schemes, types of stocks (small, medium, and large), model specifications, and sample periods. Additionally, this study also contests the assumption that the relation between stock returns and predictor variables (including IV) remains same across different points of the conditional distribution and argues that an insignificant relation at the mean level may be significant at the extreme quantiles of the conditional distribution.
Subjects: 
idiosyncratic volatility
asset pricing
emerging markets
quantile regression
JEL: 
G12
C21
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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