Does Governance Structure Influence Pension Fund Fees and Costs? An Examination of Australian Not-for-Profit Superannuation Funds
In: Australian Journal of Management, Band 40, Heft 1
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In: Australian Journal of Management, Band 40, Heft 1
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Working paper
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Working paper
In: Review of Pacific Basin Financial Markets and Policies, Band 22, Heft 1, S. 1950004
ISSN: 1793-6705
We investigate the bid–ask bounce effect on estimation of idiosyncratic volatility (IVOL) from asset pricing perspective using a comprehensive country-specific sample. We find that the idiosyncratic volatility–return relationship remains significant while controlling for stock size. However, the explanatory power of IVOL disappears completely when stock liquidity is controlled for. These findings support our argument that the bid–ask bounce effect on pricing of IVOL is strongly influenced by stock liquidity. Our results indicate that mid-price is the "true" price to measure IVOL of the least liquid stocks in the Australian stock market.
In: Journal of Behavioral Decision Making, Forthcoming
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In: Australian Journal of Management, Band 37, Heft 1
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In: Journal of Law and Financial Management, Band 11, Heft 2
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