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Michal Dzielinski

Universitetslektor

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Arbetar vid Företagsekonomiska institutionen
Telefon 08-16 28 40
E-post michal.dzielinski@sbs.su.se
Besöksadress Kräftriket hus 15
Rum 7:126A
Postadress Företagsekonomiska institutionen 106 91 Stockholm

Undervisning

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Forskning

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Publikationer

I urval från Stockholms universitets publikationsdatabas
  • 2018. Michał Dzieliński, Marc Oliver Rieger, Tõnn Talpsepp. Journal of Empirical Finance 45, 59-67

    Analyzing a large sample of U.S. firms, we show that the asymmetry of stock return volatility is positively related to investor attention and differences of opinion. Using the number of analysts following a given firm to capture attention and the dispersion in analyst forecasts as a common proxy for differences of opinion, we show that the two effects are complementary. Furthermore, the effect of attention is strongest among stocks with low institutional ownership and high idiosyncratic volatility. Our results are robust to the traditional “leverage effect” explanation of volatility asymmetry. The findings relate to the previously documented relationship between attention and volatility and suggest that volatility asymmetry is driven by asymmetric attention.

Visa alla publikationer av Michal Dzielinski vid Stockholms universitet

Senast uppdaterad: 16 november 2018

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