Idiosyncratic volatility and the expected stock returns for exploring the relationship with panel threshold regression

DOI10.1007/S10690-012-9161-0zbMath1270.91087OpenAlexW1970418993MaRDI QIDQ356766

Mu-Shun Wang

Publication date: 26 July 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-012-9161-0

zbMATH Keywords

idiosyncratic riskexpected stock returnFama and French multifactor modelpanel threshold regression modelTaiwanvolatility index

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Portfolio theory (91G10)

Cites Work

• Threshold effects in non-dynamic panels: Estimation, testing, and inference
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties
• Common risk factors in the returns on stocks and bonds
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Economic tracking portfolios

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