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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2016
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| Subjects: | |
| 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 |