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Cited by 4,508

The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.

The Cross‐Section of Volatility and Expected Returns

ANG, ANDREW, HODRICK, ROBERT J., XING, YUHANG, ZHANG, XIAOYAN·2006·The Journal of Finance
DOI 10.1111/j.1540-6261.2006.00836.x
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Abstract

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. Stocks with high idiosyncratic volatility relative to the Fama and French (1993, Journal of Financial Economics 25, 2349) 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.

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Metadata

Authors
ANG, A., HODRICK, R. J., XING, Y., & ZHANG, X.
Venue
The Journal of Finance
Publisher
Wiley
Published
2006-01-20
Volume
61
Issue
1
Pages
259-299
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2006.00836.x
OpenAlex
W2113208252
Cited by
4,508
References
5
FWCI
157.24
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: The Cross‐Section of Volatility and Expected Returns. https://app.cochat.ai/papers/10.1111/j.1540-6261.2006.00836.x
The paper
ANG, A., HODRICK, R. J., XING, Y., & ZHANG, X. (2006). The Cross‐Section of Volatility and Expected Returns. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2006.00836.x

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.