The Cross - Section of Volatility And Expected Returns  

Oleh:

Ang, Andrew ; Hodrick, Robert J. ; Yuhang, Xing ; Xiaoyan, Zhang

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 1 (Feb. 2006), page 259-300.
Topik: cross; volatility; economic models; rates of return; impact analysis; correlation analysis; studies
Fulltext: p 259.pdf (327.2KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that socks 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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