TITLE:
Patterns and Pricing of Idiosyncratic Volatility in the French Stock Market
AUTHORS:
Zhentao Liu, Gilbert V. Nartea, Ji Wu
KEYWORDS:
Idiosyncratic Volatility, Regime Switch Model, Asset Pricing, France
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.1,
January
29,
2018
ABSTRACT: We investigate the time series behavior of
idiosyncratic volatility and its role in asset pricing in France. We find that
both aggregate idiosyncratic and market volatility exhibit regime switching
behavior similar to that in the U.S. and other developed countries.
Furthermore, we find a marginally significant negative IVOL effect in the
French stock market. We add new evidence to the mounting results questioning
the ubiquity of the IVOL effect which highlights the importance of country
verification of so called anomalies in the US, even in developed markets.