Idiosyncratic Volatility and the Expected Stock Returns for Exploring the Relationship with Panel Threshold Regression

Wang, Mu-Shun

doi:10.1007/s10690-012-9161-0

Cited by 8 publications

(4 citation statements)

References 32 publications

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“…Beberapa penelitian sebelumnya menguji pengaruh risiko idiosinkratik terhadap pada saham (Liu dan Di Iorio, 2012;Wang, 2013;Bozhkov et al, 2018;Qadan et al, 2019). Penelitian-penelitian tersebut yang telah dilakukan pada topik ini menggunakan data dari negara-negara maju.…”

Section: Pendahuluanunclassified

Bagaimana Peran Tata Kelola Perusahaan Dalam Hubungan Antara Manajemen Laba Dan Risiko Idiosinkratik di Indonesia?

Firmansyah

Suhanda²

2021

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This study aims to investigate the effect of accrual earnings management and real earnings management on idiosyncratic risk. In addition, this study also examines the role of corporate governance in the relationship between the two. This study uses a quantitative approach. Research data obtained from www.idx.co.id and www.finance.yahoo.com in financial report data and company stock prices from 2012 to 2017 are listed on the Indonesia Stock Exchange. Based on purposive sampling, the total sample of this study amounted to 244 observations. Hypothesis testing is conducting by employing multiple linear regression analysis for panel data. This study suggests that real earnings management and accrual earnings management have a positive effect on idiosyncratic risk. This study also finds that corporate governance fails to weaken the relationship between earnings management and idiosyncratic risk. This study indicates that the Indonesia Financial Services Authority needs to coordinate with the Indonesian Institute of Accountants to reduce earnings management actions by companies listed on the Indonesia Stock Exchange.

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Section: Pendahuluanunclassified

Bagaimana Peran Tata Kelola Perusahaan Dalam Hubungan Antara Manajemen Laba Dan Risiko Idiosinkratik di Indonesia?

Firmansyah

Suhanda²

2021

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“…Selain itu, dengan menggunakan volatilitas satu bulan sebelumnya untuk mencerminkan ekspektasi volatilitas idiosyncratik, Ang et al (2006Ang et al ( , 2009 juga membuktikan adanya relasi negatif risiko idiosyncratik dengan ekspektasi imbal hasil yang mengindikasikan saham-saham yang mengandung risiko idiosyncratic yang tinggi pada periode sebelumnya akan mencetak imbal yang jauh lebih rendah dibandingkan saham dengan idiosyncratic risk yang rendah. Hal ini didukung oleh Wang (2012) yang menemukan risiko idiosyncratic punya relasi negatif dengan return saham di pasar Taiwan.…”

Section: Pendahuluanunclassified

“…),Bali et al (2005),Bali dan Cakici (2008),Wang (2012), danMiralles-Marcelo et al (2012). Dalam mengestimasi nilai idiosyncratic volatility,Ang et al (2006Ang et al ( , 2009, Fu (2009), Bali et al (2005), Bali dan Cakici (2008), dan Wang (2012) menggunakan three-factor model sebagai expected return model.…”

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Uji Empiris Pengaruh Idiosyncratic Volatility Terhadap Expected Return: Aplikasi Fama-French Five Factor Model

Pudjianto

Wibowo

2019

MIX

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Penelitian ini bertujuan untuk melakukan pengujian pengaruh antara idiosyncratic volatility dengan expected return. Idiosyncratic volatility dihitung dengan pendekatan langsung (direct method), yaitu standar deviasi dari residual yang dihasilkan model asset pricing Fama-French Five Factor. Penelitian ini menguji idiosyncratic volatility secara contemporaneous dan ex-ante. One-month lagged idiosyncratic volatility digunakan sebagai proksi dari expected idiosyncratic volatility. Metode yang digunakan dalam menguji model penelitian adalah Fama-Macbeth Cross-Sectional Regression. Hasil penelitian menunjukkan bahwa terdapat pengaruh yang positif dan signifikan antara realized idiosyncratic volatility dengan expected return pada waktu yang bersamaan (contemporaneous). Sedangkan secara ex-ante terdapat pengaruh yang negatif dan signifikan antara one-month lagged idiosyncratic volatility dengan expected return.

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“…Moreover, study of Wang (2013) applied to 607 Taiwanese stock market exchange companies from 2000 to 2011 aimed at reaching a limit for unsystematic risks that if passed through any unsystematic risks fluctuations increase such increase may not improve the expected. The study concluded the ability to expect market returns in the future through unsystematic risks, if unsystematic risks fluctuations are less than the final limit.…”

Section: Angelidis (2010) Applied On 24 Countries Of Ecms Incorporatementioning

confidence: 99%

The Impact of Unsystematic Risk on Stock Returns in an Emerging Capital Markets (ECM’s) Country: An Empirical Study

Masry¹,

Menshawy²

2017

IJFR

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In this study, we aim to introduce behavior of unsystemayic risk and its forecasting ability in prediction of future return in Egyptian Stock Exchange (ESE) as an Emerging Capital market (ECM), over the period of 2006 to 2015. We measure equally weighted unsystemayic volatility by following the Campbell's (2001) Indirect Method, by considering market size and weekly basis. Our results reveal that unsystemayic risk is the biggest component of total volatility and show no trend, although market volatility has a slow decreasing trend in this period. We also find that small size stocks have slightly higher volatility than the big size stocks but both portfolios have similar idiosyncratic risk behavior. Finally, our analyses about the predictive ability of various measures of unsystematic risk provide evidence that unsystematic risk volatility is not a significant predictor for future return in ESE.

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Idiosyncratic Volatility and the Expected Stock Returns for Exploring the Relationship with Panel Threshold Regression

Cited by 8 publications

References 32 publications

Bagaimana Peran Tata Kelola Perusahaan Dalam Hubungan Antara Manajemen Laba Dan Risiko Idiosinkratik di Indonesia?

Bagaimana Peran Tata Kelola Perusahaan Dalam Hubungan Antara Manajemen Laba Dan Risiko Idiosinkratik di Indonesia?

Uji Empiris Pengaruh Idiosyncratic Volatility Terhadap Expected Return: Aplikasi Fama-French Five Factor Model

The Impact of Unsystematic Risk on Stock Returns in an Emerging Capital Markets (ECM’s) Country: An Empirical Study

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