Idiosyncratic Volatility Matters for the Cross-Section of Returns— in More Ways Than One!

• المؤلفون الرئيسيون: CHUA, Choong Tze, GOH, Choo Yong, Jeremy, ZHANG, Zhe (Joe)
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2006
• الموضوعات: Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/1074
• المؤسسة: Singapore Management University

This article re-examines the relationship between idiosyncratic volatility and the cross-section of stock returns. Previous studies, using total realized returns as proxies for expected returns, have found ambiguous and conflicting relationships between expected idiosyncratic volatility and expected...