Anchoring Bias Idiosyncratic Volatility and the Cross-section of Stock Returns
Author : Cedric T. Luma Mbanga
Publisher :
Page : 120 pages
File Size : 44,82 MB
Release : 2015
Category : Stocks
ISBN :
Idiosyncratic return volatility in the cross-section of stocks
Author : Namho Kang
Publisher :
Page : 32 pages
File Size : 39,21 MB
Release : 2011
Category : Stocks
ISBN :
Book Description
Idiosyncratic Volatility and the Cross-Section of Expected Returns
Author : Turan G. Bali
Publisher :
Page : 29 pages
File Size : 17,32 MB
Release : 2012
Category :
ISBN :
Book Description
This paper examines the cross-sectional relation between idiosyncratic volatility and expected stock returns. The results indicate that (i) data frequency used to estimate idiosyncratic volatility, (ii) weighting scheme used to compute average portfolio returns, (iii) breakpoints utilized to sort stocks into quintile portfolios, and (iv) using a screen for size, price and liquidity play a critical role in determining the existence and significance of a relation between idiosyncratic risk and the cross-section of expected returns. Portfolio-level analyses based on two different measures of idiosyncratic volatility (estimated using daily and monthly data), three weighting schemes (value-weighted, equal-weighted, inverse-volatility-weighted), three breakpoints (CRSP, NYSE, equal-market-share), and two different samples (NYSE/AMEX/NASDAQ and NYSE) indicate that there is no robust, significant relation between idiosyncratic volatility and expected returns.
Volatility and the Cross-Section of Equity Returns
Author : Ruslan Goyenko
Publisher :
Page : 55 pages
File Size : 44,65 MB
Release : 2020
Category :
ISBN :
Book Description
A number of papers document a strong negative relation between idiosyncratic volatility and risk-adjusted stock returns. Using IHS Markit data on indicative borrowing fees, we show that stocks with high idiosyncratic volatility are far more likely to be hard-to-borrow than stocks with low idiosyncratic volatility. When hard-to-borrow stocks are excluded, the relation between idiosyncratic volatility and stock returns disappears. The relation between idiosyncratic volatility and stocks returns is more accurately described as a relation between being hard-to-borrow and stock returns.
Idiosyncratic Risk and the Cross Section of Stock Returns
Author : Stanislav Bozhkov
Publisher :
Page : pages
File Size : 39,57 MB
Release : 2017
Category :
ISBN :
Book Description
Unusual News Flow and the Cross-Section of Stock Returns
Author : Turan G. Bali
Publisher :
Page : 56 pages
File Size : 16,89 MB
Release : 2016
Category :
ISBN :
Book Description
We document that stocks that experience sudden increases in idiosyncratic volatility underperform otherwise similar stocks in the future, and we propose that this phenomenon can be explained by the Miller (1977) conjecture. We show that volatility shocks can be traced to the unusual firm-level news flow, which temporarily increases the level of investor disagreement about the firm value. At the same time, volatility shocks pose a barrier to short selling, preventing pessimistic investors from expressing their views. In the presence of divergent opinions and short selling constraints, prices end up initially reflecting optimistic views but adjust down in the future as investors' opinions converge.
Idiosyncratic Volatility, Aggregate Volatility Risk, and the Cross-section of Returns
Author : Alexander Barinov
Publisher :
Page : 290 pages
File Size : 19,84 MB
Release : 2008
Category : Business enterprises
ISBN :
Book Description
The Cross-section of Volatility and Expected Returns
Author : Andrew Ang
Publisher :
Page : 55 pages
File Size : 25,32 MB
Release : 2004
Category : Stocks
ISBN :
Book Description
"We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average returns. This phenomenon cannot be explained by exposure to aggregate volatility risk. Size, book-to-market, momentum, and liquidity effects cannot account for either the low average returns earned by stocks with high exposure to systematic volatility risk or for the low average returns of stocks with high idiosyncratic volatility"--National Bureau of Economic Research web site.
Idiosyncratic Volatility and the Cross-Section of Anomaly Returns
Author : Adam Zaremba
Publisher :
Page : 17 pages
File Size : 27,97 MB
Release : 2018
Category :
ISBN :
Book Description
Due to arbitrage risk asymmetries, the relationship between idiosyncratic risk and expected returns is positive (negative) among overpriced (underpriced) stocks. We offer a new active anomaly-selection strategy that capitalizes on this effect. To this end, we consider eleven equity anomalies in the U.S. market for years 1963-2016. Buying (selling) long (short) legs of the anomaly portfolios with the highest idiosyncratic volatility produces monthly abnormal returns ranging from 0.97% to 1.14% per month, outperforming a naive benchmark that equally weights all the anomalies by 45-70%. The effect cannot be subsumed by any other established anomaly-return predictor, like momentum or seasonality. The results are robust to many considerations, including different numbers of anomalies in the portfolios, subperiod analysis, as well as estimation of idiosyncratic risk from the alternative models and throughout different periods.
The Time-Series Behavior and Pricing of Idiosyncratic Volatility
Author : Paul Brockman
Publisher :
Page : 46 pages
File Size : 29,84 MB
Release : 2008
Category :
ISBN :
Book Description
Recent research on idiosyncratic volatility has documented three main empirical findings. First, Campbell, Lettau, Malkiel, and Xu (2001) show that idiosyncratic volatility exhibits an upward trend between 1962 and 1997. Second, Goyal and Santa-Clara (2003) find that aggregate measures of idiosyncratic volatility predict one-month-ahead excess market returns from 1962 to 1999. Third, Ang, Hodrick, Xing, and Zhang (2006) report a negative and significant relation between idiosyncratic volatility and cross-sectional stock returns from 1963 to 2000. We re-examine these three findings using a 37-year holdout sample of daily returns from 1926 to 1962. We find robust empirical evidence of (1) a statistically significant downward trend in idiosyncratic volatility, (2) an insignificant relation between average idiosyncratic volatility and one-month-ahead excess market returns, and (3) a highly significant inverse relation between idiosyncratic volatility and cross-sectional stock returns. These results shed new light on the time-series behavior and pricing of idiosyncratic volatility.
