Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2023.2173630
Idiosyncratic volatility and firm-specific news: evidence from the Chinese stock market
Yi Li
Van Hai Hoang
Cuiping Sun
Jangwoo Lee
Sažetak
This study investigates the effect of firm-specific news on the pricing
of idiosyncratic volatility (IVOL) in China. Using a sample of
non-financial A-share listed firms from January 2006 to June 2018,
we find that the predictive ability of IVOL is much weaker around
firm announcements compared to that without news, suggesting
that the limited arbitrage cannot disentangle the IVOL puzzle completely
in the emerging market. Additionally, we investigate the
effect of news sentiment on the predictive ability of IVOL and find
that it is much stronger following bad news compared to good
news. Finally, when we include the macroeconomic variables
known to predict returns to adjust the systematic risk, we obtain
novel findings that the negative premium of IVOL becomes insignificant,
suggesting that the negative premium is time-varying
with macroeconomy.
Ključne riječi
Idiosyncratic volatility; firmspecific news; news sentiment; macroeconomic variables; Chinese stock market
Hrčak ID:
306837
URI
Datum izdavanja:
30.4.2023.
Posjeta: 437 *