Have we Solved the Idiosyncratic Volatility Puzzle?

Have we Solved the Idiosyncratic Volatility Puzzle?

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...

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Bibliographic Details
Main Authors: HOU, Kewei, LOH, Roger
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
idiosyncratic volatility
cross-section of stock returns
lottery preferences
market frictions
Corporate Finance
Portfolio and Security Analysis
Online Access: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
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Institution: Singapore Management University
Language: English

Internet

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

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