R2 and idiosyncratic volatility: Which captures the firm-specific return variation?
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http://dx.doi.org/10.1016/j.econmod.2016.02.025 |
Metadatos
Título
R2 and idiosyncratic volatility: Which captures the firm-specific return variation?Fecha de publicación
2016Editor
ElsevierISSN
0264-9993Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.sciencedirect.com/science/article/pii/S0264999316300360Palabras clave / Materias
Resumen
A 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 ... [+]
A 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. [-]
Publicado en
Economic Modelling 55 (2016) 298–304Derechos de acceso
© 2016 Elsevier B.V. All rights reserved.
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