Szczegóły publikacji
Opis bibliograficzny
Idiosyncratic risk and cross-section of stock returns in emerging European markets / Anna CZAPKIEWICZ, Tomasz WÓJTOWICZ, Adam Zaremba // Economic Modelling ; ISSN 0264-9993. — 2023 — vol. 124 art. no. 106322, s. 1–14. — Bibliogr. s. 14, Abstr. — Publikacja dostępna online od: 2023-04-24
Autorzy (3)
- AGHCzapkiewicz Anna
- AGHWójtowicz Tomasz
- Zaremba Adam
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 148802 |
|---|---|
| Data dodania do BaDAP | 2023-10-05 |
| DOI | 10.1016/j.econmod.2023.106322 |
| Rok publikacji | 2023 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Czasopismo/seria | Economic Modelling |
Abstract
The nature and sources of the low-risk anomaly have been mainly studied in developed markets. Do they hold in emerging ones? Using data from 1999 to 2019, we examine the idiosyncratic risk puzzle in European emerging markets. We confirm that the idiosyncratic volatility negatively predicts returns in the cross-section. Nonetheless - unlike in developed markets - the pattern comes mainly from underpriced stocks. Moreover, it is augmented by high turnover and liquidity. Finally, the illiquidity-enhanced three-factor model fully explains the idiosyncratic risk anomaly. Our findings indicate that conclusions from developed markets do not directly apply to emerging markets.
