Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/269998 
Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 8 [Issue:] 1 [Article No.:] 1838686 [Year:] 2020 [Pages:] 1-15
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
In this paper, the role of the reference-dependent preference in the relationship between idiosyncratic volatility and future return was investigated in the Korean stock market from July 1990 to June 2018. The capital gains overhang was used as a reference point for a definition of the loss and gains domain. As a consequence, the negative idiosyncratic volatility-return relationship is driven by unrealized capital losses. In addition, this negative relation disappears in the unrealized capital gains domain, suggesting the important role of the reference-dependent preference in the idiosyncratic volatility puzzle interpretation. These findings are robust to control for several factors, such as market beta, return reversal variable, momentum, and liquidity.
Schlagwörter: 
capital gains overhang
expected idiosyncratic risk
idiosyncratic volatility
Korean stock market
reference-dependent preferences
JEL: 
G10
G11
G40
G41
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.