MARC Record from Library of Congress

LEADER: 02137cam a22003017a 4500
001 2006619362
003 DLC
005 20060601152318.0
007 cr |||||||||||
008 060601s2006 mou sb f000 0 eng
010 $a 2006619362
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aGuo, Hui.
245 14 $aThe relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries$h[electronic resource] /$cby Hui Guo and Robert Savickas.
260 $a[St. Louis, Mo.] :$bFederal Reserve Bank of St. Louis,$c[2006]
490 1 $aWorking paper ;$v2006-036A
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 6/1/2006.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"This paper suggests that CAPM-based idiosyncratic variance (IV) correlates negatively with future stock returns because it is a proxy for loadings on discount-rate shocks in Campbell's (1993) ICAPM. The ICAPM also implies that there are important links between the time-series and cross-sectional IV effects. For example, the coefficients on conditional stock market variance and value-weighted average IV obtained from the time-series regressions reflect loadings on stock market returns and discount-rate shocks, respectively; therefore, they should help explain the cross section of stock returns. Moreover, we expect a close relation between the IV and book-to-market effects because recent studies show that the latter also reflects intertemporal pricing. These conjectures are strongly supported by the G7 countries data"--Federal Reserve Bank of St. Louis web site.
653 $aStock return predictability;$aaverage idiosyncratic volatility;$astock market volatility;$aCAPM;$aICAPM;$across section of stock return
700 1 $aSavickas, Robert.
710 2 $aFederal Reserve Bank of St. Louis.
830 0 $aWorking paper (Federal Reserve Bank of St. Louis : Online) ;$v2006-036A.
856 40 $uhttp://research.stlouisfed.org/wp/more/2006-036/