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We document the patterns of market-wide and firm-specific volatility in the Portuguese stock market over the 1991–2005 period and test several explanations for the behavior of firm-level idiosyncratic volatility. Unlike previous studies we find no evidence of a statistically significant rise in firm- specific volatility. On the contrary, the ratio of firm-specific risk to total risk slightly decreases. We show that this result stems from new listings of large privatized companies that display lower firm-specific risk. Our findings are consistent with the idea that changes in idiosyncratic volatility are related to changes in the composition of the market.

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UTL Repository Universidade Técnica de Lisboa   

Autor(es)

Sousa, Sónia R. -  Serra, Ana Paula - 

Id.: 71381603

Idioma: eng  - 

Versión: 1.0

Estado: Final

Palabras claveIdiosyncratic volatility · Firm -  specific risk · Volatility components - 

Tipo de recurso: article  - 

Tipo de Interactividad: Expositivo

Nivel de Interactividad: muy bajo

Audiencia: Estudiante  -  Profesor  -  Autor  - 

Estructura: Atomic

Coste: no

Copyright: sí

: openAccess

Requerimientos técnicos:  Browser: Any - 

Fecha de contribución: 08-jun-2018

Contacto:

Localización:
* Sousa, Sónia R. e Ana Paula Serra (2008). "What drives idiosyncratic volatility over time?". Portuguese Economic Journal, 7(3):155-181
* 1617-982X (print)
* 1617-9838 (online)
* 10.1007/s10258-008-0031-7

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