Expected Volatility, Unexpected Volatility, and the Cross-section of Stock Returns

• Main Authors: CHUA, Choong Tze, GOH, Choo Yong, Jeremy, ZHANG, Zhe
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/4877
• Institution: Singapore Management University

The existing literature finds conflicting results on the cross-sectional relation between expected returns and idiosyncratic volatility. We contend that at the firm level, the sample correlation between unexpected returns and expected idiosyncratic volatility can cloud the true relation between the...