Finance and Economics Discussion Series: 2011-54 Screen Reader version
♣Investment, Idiosyncratic Risk, and Ownership
Vasia Panousi and Dimitris Papanikolaou
Figure 1a. Idiosyncratic Volatility and Investment
| |
2007 |
2008 |
2009 |
| Δ ln σ (INSD_L) |
0.006498 |
0.043342 |
0.0492359 |
| Δ ln σ (INSD_H) |
-0.07137 |
-0.05218 |
0.388215 |
Figure 1b. Idiosyncratic Volatility and Investment
| |
2007 |
2008 |
2009 |
| Δ IK (INSD_L) |
-0.00778 |
-0.00993 |
-0.01845 |
| Δ IK (INSD_H) |
-0.00677 |
0.018579 |
-0.08338 |
Figure 1c. Idiosyncratic Volatility and Investment
| |
2007 |
2008 |
2009 |
| Δ IK (VEGA_L) |
0.004198 |
-0.00207 |
-0.05009 |
| Δ IK (VEGA_H) |
-0.00587 |
-0.00813 |
-0.02078 |
Figure 1d. Idiosyncratic Volatility and Investment
| |
2007 |
2008 |
2009 |
| Δ IK (INST_L x INSD_L) |
0.014353 |
-0.02473 |
-0.05895 |
| Δ IK (INST_L x INSD_H) |
-0.02557 |
-0.051 |
-0.0276 |
| Δ IK (INST_H x INSD_L) |
-0.00444 |
-0.00408 |
-0.04574 |
| Δ IK (INST_H x INSD_H) |
0.013794 |
0.023592 |
-0.05958 |
Figure 1e. Idiosyncratic Volatility and Investment
| |
IK(INSD_H) - IK(INSD_L) |
Average idiosyncratic volatility |
| 1988 |
0.092334 |
0.2153189 |
| 1989 |
0.085341 |
0.1692159 |
| 1990 |
0.10341 |
0.1604191 |
| 1991 |
0.057795 |
0.1933091 |
| 1992 |
0.057542 |
0.1962727 |
| 1993 |
0.065692 |
0.1917204 |
| 1994 |
0.060382 |
0.1996183 |
| 1995 |
0.08651 |
0.1855396 |
| 1996 |
0.091992 |
0.1789953 |
| 1997 |
0.106748 |
0.1971058 |
| 1998 |
0.105214 |
0.2071184 |
| 1999 |
0.110861 |
0.2660379 |
| 2000 |
0.08253 |
0.3025822 |
| 2001 |
0.063859 |
0.3678352 |
| 2002 |
0.048761 |
0.2826127 |
| 2003 |
0.056664 |
0.2826943 |
| 2004 |
0.089504 |
0.2149179 |
| 2005 |
0.085386 |
0.1627333 |
| 2006 |
0.097226 |
0.1863099 |
| 2007 |
0.098235 |
0.1899057 |
| 2008 |
0.125739 |
0.1969932 |
| 2009 |
0.032287 |
0.3127697 |
Figure 1f. Idiosyncratic Volatility and Investment
| |
IK(INSD_H) - IK(INSD_L) |
Median idiosyncratic volatility |
| 1988 |
0.040731 |
0.4256 |
| 1989 |
0.033023 |
0.36836 |
| 1990 |
0.04378 |
0.35171 |
| 1991 |
0.024234 |
0.42958 |
| 1992 |
0.034224 |
0.43867 |
| 1993 |
0.031767 |
0.42436 |
| 1994 |
0.037198 |
0.39579 |
| 1995 |
0.041057 |
0.35933 |
| 1996 |
0.033838 |
0.36247 |
| 1997 |
0.036465 |
0.37802 |
| 1998 |
0.024964 |
0.39569 |
| 1999 |
0.025955 |
0.47961 |
| 2000 |
0.012787 |
0.49555 |
| 2001 |
0.002627 |
0.55965 |
| 2002 |
0.011719 |
0.49995 |
| 2003 |
0.011891 |
0.42735 |
| 2004 |
0.011215 |
0.33244 |
| 2005 |
0.01151 |
0.27877 |
| 2006 |
0.016633 |
0.2662 |
| 2007 |
0.024089 |
0.25848 |
| 2008 |
0.010668 |
0.2811 |
| 2009 |
0.008028 |
0.47388 |