Reinvestigate the Bid-Ask Bounce Effect and Pricing of Idiosyncratic Volatility: The Case of the Australian Market

Volume: 22, Issue: 1, Pages: 1 - 23
Published: Apr 3, 2019
Abstract
We investigate the bid-ask bounce effect on estimation of idiosyncratic volatility (IVOL) from asset pricing perspective using a comprehensive country-specific sample. We find that the idiosyncratic volatility-return relationship remains significant while controlling for stock size. However, the explanatory power of IVOL disappears completely when stock liquidity is controlled for. These findings support our argument that the bid-ask bounce...
Paper Details
Title
Reinvestigate the Bid-Ask Bounce Effect and Pricing of Idiosyncratic Volatility: The Case of the Australian Market
Published Date
Apr 3, 2019
Volume
22
Issue
1
Pages
1 - 23
Citation AnalysisPro
  • Scinapse’s Top 10 Citation Journals & Affiliations graph reveals the quality and authenticity of citations received by a paper.
  • Discover whether citations have been inflated due to self-citations, or if citations include institutional bias.