Idiosyncratic risk and international trade: New evidence

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2025-05-01 Epub Date: 2025-03-07 DOI:10.1016/j.frl.2025.107173

Volkan Sezgin (Lecturer) , Ömer Tuğsal Doruk (Associate Professor) , Ahmet Yasir Barak , Hasan Murat Ertuğrul (Professor)

引用次数: 0

Abstract

In this empirical study, the relationship between idiosyncratic volatility and international sales of a sample of non-financial firms traded in the S&P 500, over 40 years is investigated by means of regression analysis and local projections method in a dynamic framework based on panel fixed effects. The results show that idiosyncratic volatility discourages international sales significantly. Moreover, according to the results of the local projections method, idiosyncratic volatility gradually reduces international sales and has a long-term effect. The results are robust to various robustness checks.

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非同步风险与国际贸易：新证据

本文在基于面板固定效应的动态框架下，采用回归分析和局部预测方法，研究了40年来s&p 500非金融类公司的特质波动率与国际销售额之间的关系。结果表明，特殊波动率显著阻碍了国际销售。此外，根据本地预测方法的结果，特质波动率逐渐减少国际销售，并具有长期影响。结果对各种鲁棒性检查具有鲁棒性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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