A4 Conference proceedings

Value Premium, Interlisting effect and Idiosyncratic volatility: Evidence from Canadian listed firms

Open Access publication

LUT Authors / Editors

Publication Details
Authors: Ahmed Sheraz, Khorsand Bardia
Publication year: 2015
Language: English
Title of parent publication: 22nd Annual Global Finance Conference "China in the Future of Global Finance & Global Economy
Journal acronym: GFC
JUFO-Level of this publication: 0
Open Access: Open Access publication

This paper investigate whether time-varying idiosyncratic risk is priced in value premium of Canadian listed firms and whether returns of value and growth portfolio and value premium are different in interlisted firms from non interlisted firms. The analysis shows that the returns of value and growth are significantly explained by both systematic and unsystematic risks, however the value premium itself remains unexplained by either systematic or unsystematic risks. We found empirical evidence showing that unsystematic (idiosyncratic) risk has better explanatory power in case of interlisted stocks but on the other hand the systematic risk (market beta) significantly explain the value premium in case of non-interlisted stocks only. These findings are interesting to the extent that we do not completely rule out that the idiosyncratic risk does not explain the returns of value and growth portfolios. In fact, idiosyncratic risk significantly explains the return of all growth portfolios regardless of the sorting criteria i.e. Price-to-earnings (PE) or Price-to-book (PB). An interesting finding of the paper is that size-premium (small-minus-big) significantly explains the returns of all value, growth and neutral portfolios as well as value premium in all cases.

Last updated on 2017-06-06 at 18:05