The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?
نویسندگان
چکیده
منابع مشابه
Dissecting the Idiosyncratic Volatility Anomaly
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...
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Ang, Hodrick, Xing, and Zhang (2006a) show that stocks with high idiosyncratic return volatility tend to have low future returns. This paper further documents that idiosyncratic volatility is inversely related to future earning shocks, and more importantly, that the returnpredictive power of idiosyncratic volatility is induced by its information content about future earnings. We examine various...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2015
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2015.08.014