Earticle

초록

영어

Using monthly firm-level data from the Korean stock market from January 1992 to June 2016, we examine the cross-sectional relation between expected returns and expected idiosyncratic volatility. Considering the time varying property of idiosyncratic volatility, we use EGARCH model to estimate the conditional out-of-sample expected idiosyncratic volatility to avoid the problem of look-ahead-bias. Our main results are as follows. Our equal-weighted portfolio analysis that exclude any control variables exhibits that as conditional out-of-sample expected idiosyncratic volatility increase, expected returns tend to decrease. According to the equal-weighted Fama-MacBeth cross-sectional regression that includes systematic beta, size, book-to-market ratio factor, momentum, liquidity, return reversal and asset growth on the firm level, conditional out-of-sample expected idiosyncratic volatility consistently have a significantly negative relation with expected returns. This relation is also observed in the periods after the currency crisis and the global financial crisis, in the non-January sample, and in both up-phases and down-phases. Interestingly, we observe a spurious positive relation induced by look-ahead bias between contemporaneous conditional in-sample expected idiosyncratic volatility and expected returns. Our empirical findings suggest that the significantly negative relation between conditional out-of-sample expected idiosyncratic volatility and expected returns observed in the Korean stock market may be an idiosyncratic volatility anomaly.

목차

Abstract
Ⅰ. Introduction
Ⅱ. A Brief Literature Review of Idiosyncratic Volatility Anomaly in the Korean Stock Market
Ⅲ. Estimation of Idiosyncratic Volatility
Ⅳ. Sample Data and Variables
1. Sample
2. Variables
Ⅴ. Empirical Results and Discussions
1. Portfolio Analysis
2. Cross-sectional Regressions
3. Cross-sectional Regressions Across Subperiods
Ⅵ. Seasonality and Market Conditions
Ⅶ. Conclusion
References

키워드

저자

• Sangkyu Lee [ School of Management, Kyung Hee University ]
• Young Sik Kim [ School of Management, Kyung Hee University ] Corresponding Author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330