Mostrar el registro sencillo del ítem

dc.contributor.authorZhang, Wei
dc.contributor.authorLi, Xiao
dc.contributor.authorShen, Dehua
dc.contributor.authorTeglio, Andrea
dc.date.accessioned2016-07-11T08:39:53Z
dc.date.available2016-07-11T08:39:53Z
dc.date.issued2016
dc.identifier.issn0264-9993
dc.identifier.urihttp://hdl.handle.net/10234/161573
dc.description.abstractA growing literature regards R2 and idiosyncratic volatility as interchangeable proxies for firm-specific return variation and examines its relations to information efficiency. However, the question on choosing the appropriate proxy, i.e., R2 or idiosyncratic volatility, is less investigated. This paper provides alternative evidences that R2 and idiosyncratic volatility are not interchangeable with the utilization of a unique short selling mechanism in China. Specifically, we mainly find that 1) R2 is not a satisfied proxy when the information environment for individual firm is improved, while idiosyncratic volatility is a satisfied proxy under the improved information environment; 2) R2 and idiosyncratic volatility are satisfied proxies for firm-specific return variation when the information environment for individual firm is deteriorated. These results also complement the existing literature on figuring out the appropriate proxy for firm-specific return variation under different information environment.ca_CA
dc.format.extent7 p.ca_CA
dc.language.isoengca_CA
dc.publisherElsevierca_CA
dc.relation.isPartOfEconomic Modelling 55 (2016) 298–304ca_CA
dc.rights© 2016 Elsevier B.V. All rights reserved.ca_CA
dc.subjectR2ca_CA
dc.subjectIdiosyncratic volatilityca_CA
dc.subjectShort sellingca_CA
dc.subjectFirm-specific return variationca_CA
dc.subjectInformation environmentca_CA
dc.titleR2 and idiosyncratic volatility: Which captures the firm-specific return variation?ca_CA
dc.typeinfo:eu-repo/semantics/articleca_CA
dc.identifier.doihttp://dx.doi.org/10.1016/j.econmod.2016.02.025
dc.rights.accessRightsinfo:eu-repo/semantics/restrictedAccessca_CA
dc.relation.publisherVersionhttp://www.sciencedirect.com/science/article/pii/S0264999316300360ca_CA


Ficheros en el ítem

FicherosTamañoFormatoVer

No hay ficheros asociados a este ítem.

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem