The International Journal of Business and Finance Research
The seminal Campbell et al. (2001) paper showing that idiosyncratic risk has increased considerably in recent years has spawned a large number of articles to explain the phenomenon. In this paper, we propose growing earnings noncommonality as a possible source of the increasing idiosyncratic volatility. The empirical results of this research validate this proposition. Our conclusions stand the test of several robustness checks which show that market power and innovativeness previously considered in literature as sources of increased idiosyncratic volatility are not significant in the presence of earnings noncommonality. The findings of this research will be useful for analysts and investors involved in asset pricing.
Original Publication Citation
Yung, K., Sun, Q., & Rahman, H. (2015). Idiosyncratic risk and earnings noncommonality. The International Journal of Business and Finance Research, 9(1), 1-17.
Yung, Kenneth; Sun, Qian; and Rahman, Hamid, "Idiosyncratic Risk and Earnings Noncommonality" (2015). Finance Faculty Publications. 8.