3 years ago

The High Idiosyncratic Volatility Low Return Puzzle

The High Idiosyncratic Volatility Low Return Puzzle

What have we got? What

What have we got? What are we trying to get?• The 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

Why is it interesting?• Two different views of the ivol effect:– Very robust - AHXZ– Not robust at all - Bali and Cakici (2008)Sensitive to weighting-scheme.Sensitive to data frequency used to estimate ivol.• Our goal is to explain both.Now we can explain the sensitivity results of Bali and Cakici.We are trying to explain how the second group generates the AHXZ finding.6

Low volatility equity investing The Paradox of Low Risk and ...
Institutional Investor Asset Management in a Low Return/High Risk ...
Ⅰ CubeSats: A Low-Cost, Very High-Return Space Technology
The High Idiosyncratic Volatility Low Return Puzzle
High idiosyncratic volatility and low returns: International and ...
High Idiosyncratic Volatility and Low Returns ... - Rice University
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
Idiosyncratic Volatility and Equity Returns: UK Evidence
Financial distress and idiosyncratic volatility: An ... -
Idiosyncratic Volatility and Expected Returns - Manchester Business ...
The Next Microsoft? Skewness, Idiosyncratic Volatility, and Expected ...
Return Reversals, Idiosyncratic Risk and Expected Returns
Idiosyncratic Return Volatility, Cash Flows, and ... - Boston College
The Cross-Section of Volatility and Expected Returns - Rice University
Explaining the China Puzzle: High Growth and Low Volatility in the ...
The Cross-Section of Volatility and Expected Returns - Rice University
Incomplete information, idiosyncratic volatility and stock ... - EFA2009
Dynamic Effects of Idiosyncratic Volatility - Wilfrid Laurier University
Idiosyncratic Risk and REIT Returns - Institute of Real Estate Studies
Aggregate Idiosyncratic Volatility - Columbia Business School ...
Idiosyncratic Risk, Financial Distress and the Cross
Idiosyncratic downside risk and the credit spread puzzle (Acrobat PDF)
Jump Risk, Stock Returns, and Slope of Implied Volatility Smile∗
Information asymmetry, Liquidity, Risk attitude, Idiosyncratic volatility ...
What Drove the Increase in Idiosyncratic Volatility During the Internet ...
Idiosyncratic Volatility and the Cross-Section of Expected Returns ...
Residual Volatility and Average Returns
Low Volatility investing -
Expected Idiosyncratic Skewness - Marriott School