Executive Stock Options, Managerial Characteristics and Idiosyncratic Volatility
This paper examines idiosyncratic volatility determinants. We extend the existing literature in two directions. First, we empirically test if CEO stock options have any impact on idiosyncratic volatility. Second, we put forward and test new hypotheses which relate some easily identifiable managerial characteristics, such as the CEOs age, founder-CEO status and managers professional background, to idiosyncratic volatility. Using a sample of 182 IPO firms from the biotech industry, we find that the CEO stock options and managerial characteristics can help predict idiosyncratic volatility. Our empirical results are robust to various measures of idiosyncratic volatility, different sample periods and various model specifications. These findings have direct implications to idiosyncratic volatility sensitive investors and researchers with interest in idiosyncratic volatility determination.
idiosyncratic volatility managerial characteristics resource dependency biotech and IPO
Inghwee Chok Qian Sun
Division of Accounting Nanyang Business School Nanyang Technological University Singapore 639798 Institute for Finance and Accounting Studies Xiamen University Xiamen, 361005, China
国际会议
西安
英文
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）