Asset Pricing 3最新文献

筛选

英文中文

Capital Heterogeneity, Time-to-Build, and Return Predictability 资本异质性、构建时间和回报可预测性

Asset Pricing 3 Pub Date : 2018-12-07 DOI: 10.2139/ssrn.3069553

Di Luo

引用次数: 3

Some Analytical and Empirical Results on the Relation between Idiosyncratic Volatility and Expected Stock Return 特质波动率与股票预期收益关系的分析与实证结果

Asset Pricing 3 Pub Date : 2010-09-13 DOI: 10.2139/ssrn.1649880

D. Galagedera

{"title":"Some Analytical and Empirical Results on the Relation between Idiosyncratic Volatility and Expected Stock Return","authors":"D. Galagedera","doi":"10.2139/ssrn.1649880","DOIUrl":"https://doi.org/10.2139/ssrn.1649880","url":null,"abstract":"We show analytically that the cross-sectional relation between idiosyncratic volatility estimated as the variance of the residuals in a single factor model and expected stock return may be represented by a truncated parabola that opens to the left and has horizontal axis. This relation is uncovered for stocks of similar volatility and no abnormal return estimated in the factor model. The sensitivity of the relation between idiosyncratic volatility and expected stock return to these restrictions are discussed. Our findings may be extended to the multi-factor case as well. A non-linear inverse relation between idiosyncratic volatility and expected return is more likely to be observed when portfolios are formed controlling for abnormal return and total risk. Our interpretation of the idiosyncratic volatility and expected return relation help explain the inconsistency in the cross-sectional relation between idiosyncratic volatility and expected stock return observed in empirical studies. We provide empirical evidence to suggest that the relation between (i) idiosyncratic volatility and expected return is generally positive and is robust to the portfolio formation scheme and sample period and (ii) lagged idiosyncratic volatility and expected return is sensitive to the sample period.","PeriodicalId":150185,"journal":{"name":"Asset Pricing 3","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115183347","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0