منابع مشابه
AGGREGATE IDIOSYNCRATIC VOLATILITY Geert
We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and we find no evidence of upward trends. Instead, idiosyncratic volatility appears to be well described by a stationary autoregressive process that occasionally switches into a higher-variance regime that has relatively short duration. We also document that idiosyncratic volatili...
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The finding that stocks with high idiosyncratic volatility tend to have low future returns, as first documented in Ang, Hodrick, Xing, and Zhang (2006), has been dubbed as the idiosyncratic volatility anomaly in the finance literature. Several studies have since explored various potential explanations of the anomalous relation between idiosyncratic volatility and stock returns. Some studies eve...
متن کاملPrice Momentum and Idiosyncratic Volatility
We show that stocks with higher idiosyncratic volatility display greater price momentum; a relation which is economically large, statistically significant, and robust. Stocks with higher idiosyncratic volatility also experience quicker and larger reversals. These findings are consistent with the view that momentum profits are attributable to underreaction to firm-specific information. Our findi...
متن کاملIdiosyncratic risk and volatility bounds
This paper uses Hansen and Jagannathan’s (1991) volatility bounds to evaluate models with idiosyncratic consumption risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and the distribution of the idiosyncratic shock is independent of the aggregate state. Following Mankiw (1986), I then show that idiosyncratic risk can help to en...
متن کاملIncomplete information , idiosyncratic volatility and stock returns ∗
When investors have incomplete information, expected returns, as measured by an econometrician, deviate from those predicted by standard asset pricing models by including a term that is the product of the stock’s idiosyncratic volatility and the investors’ aggregated forecast errors. If investors are biased this term generates a relation between idiosyncratic volatility and expected stocks retu...
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ژورنال
عنوان ژورنال: International Review of Financial Analysis
سال: 2004
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2004.02.027