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What determines the differences in idiosyncratic volatility between Swedish firms and comparable European firms?

Swanson, Jesper LU and Lindberg, Linus LU (2018) NEKP01 20181
Department of Economics
Abstract
Firms’ stock return volatility varies across countries, and the factors driving the volatility can contribute both positively and negatively to economic growth. We show that across 3,673 firms during the time interval 2001 to 2016, stocks of Swedish firms have on average lower volatility compared to stocks of foreign European firms of similar size, age, and market-to-book value. The lower volatility for Swedish firms is more distinct and persistent in idiosyncratic volatility compared to systematic volatility. Further, our results indicate that the difference in idiosyncratic volatility is explained by Sweden having greater equity market development and less country risk compared to other European countries.
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author
Swanson, Jesper LU and Lindberg, Linus LU
supervisor
organization
course
NEKP01 20181
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Total volatility, systematic volatility, idiosyncratic volatility, Fama-French three-factor model, propensity score matching
language
English
id
8946375
date added to LUP
2018-07-03 13:36:42
date last changed
2018-07-03 13:36:42
@misc{8946375,
  abstract     = {Firms’ stock return volatility varies across countries, and the factors driving the volatility can contribute both positively and negatively to economic growth. We show that across 3,673 firms during the time interval 2001 to 2016, stocks of Swedish firms have on average lower volatility compared to stocks of foreign European firms of similar size, age, and market-to-book value. The lower volatility for Swedish firms is more distinct and persistent in idiosyncratic volatility compared to systematic volatility. Further, our results indicate that the difference in idiosyncratic volatility is explained by Sweden having greater equity market development and less country risk compared to other European countries.},
  author       = {Swanson, Jesper and Lindberg, Linus},
  keyword      = {Total volatility,systematic volatility,idiosyncratic volatility,Fama-French three-factor model,propensity score matching},
  language     = {eng},
  note         = {Student Paper},
  title        = {What determines the differences in idiosyncratic volatility between Swedish firms and comparable European firms?},
  year         = {2018},
}