The idiosyncratic volatility puzzle: Time trend or speculative episodes
Publication
, Journal Article
Brandt, MW; Brav, A; Graham, JR; Kumar, A
Published in: Review of Financial Studies
February 1, 2010
Campbell, Lettau, Malkiel, and Xu (2001) document a positive trend in idiosyncratic volatility during the 1962-1997 period. We show that by 2003 volatility falls back to pre-1990s levels. Furthermore, we show that the increase and subsequent reversal is concentrated among firms with low stock prices and high retail ownership. This evidence suggests that the increase in idiosyncratic volatility through the 1990s was not a time trend but, rather, an episodic phenomenon, at least partially associated with retail investors. Results from cross-sectional regressions, conditional trend estimation, stock-split events, and "attention-grabbing" events are consistent with a retail trading effect.
Duke Scholars
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Published In
Review of Financial Studies
DOI
EISSN
1465-7368
ISSN
0893-9454
Publication Date
February 1, 2010
Volume
23
Issue
2
Start / End Page
863 / 899
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory
Citation
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Brandt, M. W., Brav, A., Graham, J. R., & Kumar, A. (2010). The idiosyncratic volatility puzzle: Time trend or speculative episodes. Review of Financial Studies, 23(2), 863–899. https://doi.org/10.1093/rfs/hhp087
Brandt, M. W., A. Brav, J. R. Graham, and A. Kumar. “The idiosyncratic volatility puzzle: Time trend or speculative episodes.” Review of Financial Studies 23, no. 2 (February 1, 2010): 863–99. https://doi.org/10.1093/rfs/hhp087.
Brandt MW, Brav A, Graham JR, Kumar A. The idiosyncratic volatility puzzle: Time trend or speculative episodes. Review of Financial Studies. 2010 Feb 1;23(2):863–99.
Brandt, M. W., et al. “The idiosyncratic volatility puzzle: Time trend or speculative episodes.” Review of Financial Studies, vol. 23, no. 2, Feb. 2010, pp. 863–99. Scopus, doi:10.1093/rfs/hhp087.
Brandt MW, Brav A, Graham JR, Kumar A. The idiosyncratic volatility puzzle: Time trend or speculative episodes. Review of Financial Studies. 2010 Feb 1;23(2):863–899.
Published In
Review of Financial Studies
DOI
EISSN
1465-7368
ISSN
0893-9454
Publication Date
February 1, 2010
Volume
23
Issue
2
Start / End Page
863 / 899
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory