Have we Solved the Idiosyncratic Volatility Puzzle?

• Main Authors: HOU, Kewei, LOH, Roger
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2016
• 主題: idiosyncratic volatility; cross-section of stock returns; lottery preferences; market frictions; Corporate Finance; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/3503; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4502/viewcontent/HouLohRoger_22Sep2015_IdiosyncraticVolatilityPuzzle.pdf
• 機構: Singapore Management University

We propose a simple methodology to evaluate a large number of potential explanations for the negative relation between idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing explanations explain less than 10% of the puzzle...