摘要： Studies have claimed that the “idiosyncratic volatility puzzle” in the firm-level data can be explained by certain time-series properties of the firm-specific shocks. The absence of this puzzle in the country-level index data implies that the time-series properties of the country-specific shocks are different from those of the firm-specific shocks. We find that the differences are, first, lagged idiosyncratic volatility is a better proxy for expected idiosyncratic risk in the country-level data. Second, idiosyncratic skewness is not a significant factor determining country-level index returns. Finally, country-specific index returns show momentum, as opposed to return reversals documented in the firm-level data. ► The idiosyncratic volatility puzzle is not present in country-level equity indices. ► Time-series properties of country-specific and firm-specific shocks are different. ► Country-specific volatility is more persistent than firm-specific volatility. ► Country-specific return skewness is not significant enough to affect index returns. ► Investment strategies in forming global and domestic portfolios should differ. 出版者： Greenwich: Elsevier Inc 出版日期： 2013-01 出處： International review of economics & finance, 2013-01, Vol.25, p.326-337 資源來源： Elsevier ScienceDirect Journals Complete 版權： 2012 Elsevier Inc. 版權： Copyright Elsevier Science Ltd. Jan 2013 識別號： ISSN: 1059-0560 識別號： EISSN: 1873-8036 識別號： DOI: 10.1016/j.iref.2012.07.014
