Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/303820 
Authors: 
Year of Publication: 
2022
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 10 [Issue:] 1 [Article No.:] 2127489 [Year:] 2022 [Pages:] 1-21
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
In this paper, we examine the relationship between idiosyncratic volatility and future returns around the firm-specific news announcements in the Chinese stock market following. The results show that the pricing of non-news idiosyncratic volatility is more strongly negative compared to news idiosyncratic volatility. Such findings imply that limited arbitrage cannot fully explain the negative pricing of idiosyncratic volatility in the Chinese stock market. These results are robust after controlling for several well-known variables, such as market beta, firm size, book-to-market, momentum, liquidity, and maximum return. However, after adjusting by additional macroeconomic variables, the Chinese four-factor model and the salience trading volume factor, the average returns on zero-investment IVOL and non-news IVOL portfolios turn out to be insignificant, indicating that they may be one driver of the IVOL puzzle in the Chinese stock market.
Subjects: 
anomalies
Chinese stock market
firm-specific news
idiosyncratic volatility
news idiosyncratic volatility
non-news idiosyncratic volatility
JEL: 
G12
G17
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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