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Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Common Idiosyncratic Volatility or Common Microstructure Bias? |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Date | 2021 |
| Abstract Text | I show that idiosyncratic volatility is the major part of the total volatility of a firm. The idiosyncratic volatility of stocks share a lot of co-movement amongst each other. Shocks to the common idiosyncratic volatility are priced, stocks in the lowest beta portfolio earn on average 4.10% more than the one in the highest beta portfolio. Furthermore, I show that these results are not driven by microstructure bias. |
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