Title: Idiosyncratic volatility puzzle: The role of assets' interconnections
Authors: Roberto Panzica - Goethe University House of finance (Italy) [presenting]
Abstract: The aim is to investigate the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution is to show that portfolios sorted by increasing indegree computed on the network based on Granger causality test have lower expected returns, not related to idiosyncratic volatility. Secondly, empirical evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor.