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Does Idiosyncratic Risk Matter? Evidence from the Japanese Stock Market

Author

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  • Bing Xiao

    (Université d’Auvergne, France)

Abstract

It would seem that a relationship exists between the idiosyncratic risk and stock returns, and the idiosyncratic risk exhibits a positive and statistically significant trend. The goal of this paper is to use data from Japanese markets to investigate the two issues for the 2000-2014 period and provide further evidence that adds to the existing conflicting results. Our results suggest that existence of a positive relationship between the equally weighted measure of idiosyncratic risk and subsequent stock returns, but we don’t find a rise in idiosyncratic volatility over the period.

Suggested Citation

  • Bing Xiao, 2015. "Does Idiosyncratic Risk Matter? Evidence from the Japanese Stock Market," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(3), pages 12-19.
    • Handle: RePEc:ejn:ejbmjr:v:3:y:2015:i:3:p:12-19
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    References listed on IDEAS

    as
    1. Turan G. Bali & Nusret Cakici & Xuemin (Sterling) Yan & Zhe Zhang, 2005. "Does Idiosyncratic Risk Really Matter?," Journal of Finance, American Finance Association, vol. 60(2), pages 905-929, April.
    2. Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009. "High idiosyncratic volatility and low returns: International and further U.S. evidence," Journal of Financial Economics, Elsevier, vol. 91(1), pages 1-23, January.
    3. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009. "International Stock Return Comovements," Journal of Finance, American Finance Association, vol. 64(6), pages 2591-2626, December.
    4. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2008. "Idiosyncratic volatility and equity returns: UK evidence," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 539-556, June.
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    Cited by:

    1. Bing Xiao, 2023. "The Size Effect and the Value Effect in the American Stock Market," Post-Print hal-04194510, HAL.

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