The High Idiosyncratic Volatility Low Return Puzzle
The High Idiosyncratic Volatility Low Return Puzzle
The High Idiosyncratic Volatility Low Return Puzzle
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
t+1). Panel B reports the equally-weighted portfolio returns. Panel C reports the average idiosyncratic volatility inroup.Table 6 - Panel AA. Value-weighted portfolio returnssize rank1 2 3 4 5ivol rank t t+1 t t+1 t t+1 t t+1 t t+11 -0.63 1.16 -0.36 1.31 0.00 1.37 0.49 1.23 1.15 0.952 -1.58 1.62 -0.71 1.64 0.06 1.57 0.95 1.51 1.75 1.003 -2.05 1.66 -0.67 1.68 0.60 1.48 1.86 1.30 2.43 1.014 -2.02 1.89 0.29 1.27 2.02 1.12 3.33 0.86 3.46 0.525 3.25 1.44 6.18 0.16 7.62 -0.15 8.35 -0.28 10.11 -0.195-1 3.88 0.28 6.54 -1.15 7.62 -1.52 7.86 -1.51 8.98 -1.14[7.17] [0.85] [11.22] [-3.63] [11.84] [-4.88] [11.01] [-4.40] [9.07] [-2.84]B. Equally-weighted portfolio returnssize rank1 2 3 4 58
Change language