定價誤差與個別風險波動的迷思;Mispricing and Idiosyncratic Volatility Puzzle

NCUIR > School of Management at National Central University > Department of Finance > Research Project > Item 987654321/62854

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/62854

Title:	定價誤差與個別風險波動的迷思;Mispricing and Idiosyncratic Volatility Puzzle
Authors:	葉錦徽
Contributors:	國立中央大學財務金融學系
Keywords:	財政（含金融;保險）
Date:	2013-12-01
Issue Date:	2014-03-17 14:06:01 (UTC+8)
Publisher:	行政院國家科學委員會
Abstract:	研究期間：10208~10307;This proposal aims to disentangle the source of the recently recognized priced idiosyncratic volatility. We start with the toy model of mispricing as employed in Brennan and Wang (2010) by generalizing the framework to systematic risk factors. We specifically seek to perform a variance decomposition on the IV and examine how much proportionate can be explained by the mispricing over time. Taking these results as given, we then explore the empirical consequences for average returns.
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Finance] Research Project

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