Idiosyncratic Volatility and Expected Returns at the Global Level
Year: 2015
Type: article
Abstract: The author investigated the existence and significance of a global cross-sectional relation between idiosyncratic volatility and expected returns by introducing a global idiosyncratic volatility measure and globally diversified test assets. He found that portfolios with the highest and lowest global idiosyncratic volatility do not earn significantly different average returns, indicating no link between global idiosyncratic volatility and expected returns. His results show that global diversification is effective in stabilizing the returns of global test assets and that benefits from global diversification can be gained by diversifying across either countries or industries.
Source: Financial Analysts Journal
DOI: 10.2469/faj.v71.n6.5
Author: Mehmet Umutlu
Institution: Yaşar University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2159082583