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

• Main Authors: CHUA, Choong Tze, GOH, Choo Yong, Jeremy, ZHANG, Zhe (Joe)
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2006
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/1074
• Institution: 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...