The Cross-Section of Stock Return and Volatility

• Main Author: HAN, Hongchao
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2008
• Subjects: idiosyncratic volatility discount; pricing; profitability; rate of return; stock price forecasting; stocks; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/etd_coll/41; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1040&context=etd_coll
• Institution: Singapore Management University

There has been increasing research on the cross-sectional relation between stock return and volatility. Conclusions are, however, mixed, partially because volatility or variance is modeled or parameterized in various ways. This paper, by using the Jiang and Tian (2005)'s model-free method, esti...