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dc.contributor.authorRoger, Patrick
dc.contributor.authorRoger, Tristan
dc.contributor.authorSchatt, Alain
dc.date.accessioned2019-10-02T11:50:55Z
dc.date.available2019-10-02T11:50:55Z
dc.date.issued2017
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19968
dc.language.isoenen
dc.subjectstock returnsen
dc.subjectidiosyncrasyen
dc.subjectprice effecten
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelE.E3.E31en
dc.titleIdiosyncratic volatility and nominal stock prices: evidence from approximate factor structuresen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenApproximate factor structures defined by Chamberlain and Rotschild (1983) allow to test whether a given quantitative firm characteristic (the nominal stock price in this paper) is a determinant of the idiosyncratic volatility of stock returns. Our study of 8,000 U.S stocks over the period 1980-2014 shows that small price stocks exhibit a higher idiosyncratic volatility than large price stocks. This relationship is persistent over time and robust to variations in the number of common factors of the approximate factor structure. Moreover, this small price effect does not hide a small-firm effect because it is still valid when we analyze the tercile of large firms. Our result confirms that small price stocks have lottery-type characteristics and, therefore, it is not in line with the efficient market hypothesis.en
dc.relation.isversionofjnlnameFinance Bulletin
dc.relation.isversionofjnlvol1en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2017-03
dc.relation.isversionofjnlpages30-45en
dc.relation.isversionofdoi10.20870/fb.2017.1.1.1853en
dc.subject.ddclabelBourse, Marchés financiersen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2019-10-02T09:59:38Z
hal.person.labIds22139
hal.person.labIds1032
hal.person.labIds56862
hal.identifierhal-02303555*


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