고유변동성 퍼즐의 결정요인에 대한 분해와 평가

Since the very influential paper Ang, Hodrick, Xing, and Zhang (2006) which presents the negative relationship between idiosyncratic volatility and future stock returns, a large number of theoretical and empirical papers have been published to solve the idiosyncratic volatility puzzle. This paper intends to evaluate the determinants that proposed by previous studies to explain the puzzle in Korea stock market. In this study, twelve determinants are grouped into three categories as firm characteristic variables, investor preference related variables, and market friction related variables. The decomposition methodology proposed by Hou and Loh (2016) are applied to calculate the ratio of portion explained by the determinants to the puzzle. This study tries to get the scale invariant ratios to ensure the comparability of the test results by standardizing the determinant variables. The determinants examined in this paper explains 52.97% of the puzzle for all sample period. And 55.97% of the puzzle is explained by the determinants before the global economic crisis in 2008, and 49.02% of the puzzle is explained by the determinants in the second sub-period. This test result is comparable to Hou and Loh (2016) which presents 29-58% of the puzzle is explained by the determinants for individual stocks. Five determinants including momentum, capital gain overhang, illquidity, trading turnover, and transaction cost have high explanation power consistently for all period and all sub-period. The rest of determinants have a weak explanation power or have inconsistent explanation power according to the period.