The International Commonality of Idiosyncratic Variances-Reference-Cited by-同舟云学术

The International Commonality of Idiosyncratic Variances

Published:2024-05-30 Issue: Volume: Page:
ISSN:0025-1909
Container-title:Management Science
language:en
Short-container-title:Management Science

Author:

Bekaert Geert¹²^ORCID,Wang Xue³^ORCID,Zhang Xiaoyan³^ORCID

Affiliation:

1. Finance Division, Columbia Business School, Columbia University, New York, New York 10027;

2. Centre for Economic Policy Research (CEPR), London EC1V 0DX, United Kingdom;

3. PBC School of Finance, Tsinghua University, Beijing 100083, P.R. China

Abstract

We document strong global commonality in country idiosyncratic return variances across 23 developed markets, which is stronger than international return commonality. The global common factor of idiosyncratic return variances is highly correlated with that of idiosyncratic cash flow variances and is also significantly related to variables capturing aggregate discount rate variation and the conditional market variance. Furthermore, aggregate idiosyncratic return and cash flow variances are mostly but not always countercyclical. This paper was accepted by Kay Giesecke, finance. Funding: X. Zhang acknowledges financial support from the National Natural Science Foundation of China [Grant 72350710220] and the Beijing Natural Science Foundation [Grant IS23127]. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.01398 .

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Link

https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2022.01398

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