The High Idiosyncratic Volatility Low Return Puzzle
The High Idiosyncratic Volatility Low Return Puzzle
The High Idiosyncratic Volatility Low Return Puzzle
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What have we got? What are we trying to get?• <strong>The</strong> highest ivol quintile contains two types of stocks:– A group of small, illiquid, low-priced stocks display strong reversal.– A group of relatively large and liquid stocks generates the puzzle.In particular, losing stocks in this group exhibit drift.• Work-in-progress:What explains low return of the second group?– Analysts forecasts dispersion and/or effects of corporate news5
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