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High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
Open accessAbstract
Stocks with recent past high idiosyncratic volatility have low future average returns around the world.Across 23 developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility is -1.31% per month, after controlling for world market, size, and value factors.The effect is individually significant in each G7 country.In the U.S., we rule out explanations based on trading frictions, information dissemination, and higher moments.There is strong comovement in the low returns to high idiosyncratic volatility stocks across countries, suggesting that broad, not easily diversifiable, factors may lie behind this phenomenon.
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Cites
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Advances in prospect theory: Cumulative representation of uncertainty
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Cited by
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
Gagliardini, P., Ossola, E., & Scaillet, O. (2016) · Econometrica · doi:10.3982/ecta11069 · Cited by 278
Metadata
- Authors
- Ang, A., Hodrick, R., Xing, Y., & Zhang, X.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 2008-01
- OpenAlex
- W3122821343
- Cited by
- 393
- References
- 5
- Type
- report
- Language
- en
- Open access
- green
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