{"title":"α和特殊波动率","authors":"Percy Poon , Tong Yao , Andrew (Jianzhong) Zhang","doi":"10.1016/j.finmar.2022.100720","DOIUrl":null,"url":null,"abstract":"<div><p>We find that the relation between the idiosyncratic volatility (IVOL) anomaly and the beta anomaly is quite different at long horizons than at short horizons. At short horizons, neither anomaly can fully explain the other. At long horizons, the IVOL-alpha relation is explained by the beta-alpha relation. A long-window estimate of idiosyncratic volatility measure popularly used by the investment industry behaves more like beta than IVOL in predicting returns and alphas. Our findings suggest that the short-horizon and long-horizon low-risk effects are different and warrant different explanations.</p></div>","PeriodicalId":2,"journal":{"name":"ACS Applied Bio Materials","volume":"61 ","pages":"Article 100720"},"PeriodicalIF":4.6000,"publicationDate":"2022-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The alphas of beta and idiosyncratic volatility\",\"authors\":\"Percy Poon , Tong Yao , Andrew (Jianzhong) Zhang\",\"doi\":\"10.1016/j.finmar.2022.100720\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We find that the relation between the idiosyncratic volatility (IVOL) anomaly and the beta anomaly is quite different at long horizons than at short horizons. At short horizons, neither anomaly can fully explain the other. At long horizons, the IVOL-alpha relation is explained by the beta-alpha relation. A long-window estimate of idiosyncratic volatility measure popularly used by the investment industry behaves more like beta than IVOL in predicting returns and alphas. Our findings suggest that the short-horizon and long-horizon low-risk effects are different and warrant different explanations.</p></div>\",\"PeriodicalId\":2,\"journal\":{\"name\":\"ACS Applied Bio Materials\",\"volume\":\"61 \",\"pages\":\"Article 100720\"},\"PeriodicalIF\":4.6000,\"publicationDate\":\"2022-11-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ACS Applied Bio Materials\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1386418122000131\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"MATERIALS SCIENCE, BIOMATERIALS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ACS Applied Bio Materials","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1386418122000131","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATERIALS SCIENCE, BIOMATERIALS","Score":null,"Total":0}
We find that the relation between the idiosyncratic volatility (IVOL) anomaly and the beta anomaly is quite different at long horizons than at short horizons. At short horizons, neither anomaly can fully explain the other. At long horizons, the IVOL-alpha relation is explained by the beta-alpha relation. A long-window estimate of idiosyncratic volatility measure popularly used by the investment industry behaves more like beta than IVOL in predicting returns and alphas. Our findings suggest that the short-horizon and long-horizon low-risk effects are different and warrant different explanations.
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