Essays about: "Dimitris Karakitsios"

Found 1 essay containing the words Dimitris Karakitsios.

  1. 1. Idiosyncratic Volatility - Evidence from the Nordic Equity Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Svante Jonasson; Dimitris Karakitsios; [2006]
    Keywords : idiosyncratic; volatility; decomposition; nordic;

    Abstract : Using the disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels, introduced by Campbell, Lettau, Malkiel, and Xu (2001), we present empirical evidence on the volatility composition of stocks traded on the Nordic equity markets. Our results reject the common notion of rising stock volatility with respect to all three components of volatility, but unveil recent periods of increased high-frequency noise. READ MORE