TY - JOUR
T1 - Idiosyncratic volatility and security returns
T2 - Australian evidence
AU - Bollen, Bernard
AU - Skotnicki, Anthony
AU - Veeraraghavan, Madhu
PY - 2009/10
Y1 - 2009/10
N2 - This article examines whether idiosyncratic risk is priced for equities listed in the Australian Stock Exchange (ASX). Specifically, this article follows the methodology of Bali et al. (2005) and investigates whether idiosyncratic volatility is able to predict 1-month ahead excess returns on the value-weighted market index (the All Ordinaries Index - AOI), over the period 1980:01 to 2004:12. We also investigate whether the idiosyncratic volatility is priced differently in partitioned subperiods. Our findings suggest that idiosyncratic volatility is not priced in the Australian market.
AB - This article examines whether idiosyncratic risk is priced for equities listed in the Australian Stock Exchange (ASX). Specifically, this article follows the methodology of Bali et al. (2005) and investigates whether idiosyncratic volatility is able to predict 1-month ahead excess returns on the value-weighted market index (the All Ordinaries Index - AOI), over the period 1980:01 to 2004:12. We also investigate whether the idiosyncratic volatility is priced differently in partitioned subperiods. Our findings suggest that idiosyncratic volatility is not priced in the Australian market.
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U2 - 10.1080/09603100902984327
DO - 10.1080/09603100902984327
M3 - Article
AN - SCOPUS:70349811594
SN - 0960-3107
VL - 19
SP - 1573
EP - 1579
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 19
ER -