Higher Idiosyncratic Moments and the Cross-section of Expected Stock Returns PDF Download
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Author: John Byong Tek Lee
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 250
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Book Description
Author: John Byong Tek Lee
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 250
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Book Description
Author: J. Benson Durham
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 60
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Author: Andrew Ang
Publisher:
ISBN:
Category :
Languages : en
Pages : 56
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Book Description
We examine how volatility risk, both at the aggregate market and individual stock level, is priced in the cross-section of expected stock returns. Stocks that have past high sensitivities to innovations in aggregate volatility have low average returns. We also find that stocks with past high idiosyncratic volatility have abysmally low returns, but this cannot be explained by exposure to aggregate volatility risk. The low returns earned by stocks with high exposure to systematic volatility risk and the low returns of stocks with high idiosyncratic volatility cannot be explained by the standard size, book-to-market, or momentum effects, and are not subsumed by liquidity or volume effects.
Author: Cedric T. Luma Mbanga
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 120
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Author: Jean-Paul Sursock
Publisher:
ISBN:
Category :
Languages : en
Pages : 122
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Author: Namho Kang
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 32
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Author: Cameron Truong
Publisher:
ISBN:
Category :
Languages : en
Pages : 50
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We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in the 10-day window before future earnings announcements. The average of risk-adjusted return differences between stocks with the highest earnings announcement idiosyncratic volatility and stocks with the lowest earnings announcement idiosyncratic volatility exceeds 100 basis points in the 10 days leading up to the earnings announcements. The pricing of earnings announcement idiosyncratic volatility is asymmetric where only idiosyncratic volatility based on positive stock returns is priced. This is consistent with the argument that investors have a preference for stocks with large payoffs during earnings announcements.
Author: Eugene F. Fama
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 41
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Author: Hui Guo
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 41
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Author: Stefan Ruenzi
Publisher:
ISBN:
Category :
Languages : en
Pages :
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