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High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence / Andrew Ang, Robert J. Hodrick, Yuhang Xing, Xiaoyan Zhang.
- Format:
- Book
- Author/Creator:
- Ang, Andrew.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w13739.
- NBER working paper series no. w13739
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- High Idiosyncratic Volatility and Low Returns
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2008.
- Summary:
- Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility is -1.31% per month, after controlling for world market, size, and value factors. The effect is individually significant in each G7 country. In the U.S., we rule out explanations based on trading frictions, information dissemination, and higher moments. There is strong comovement in the low returns to high idiosyncratic volatility stocks across countries, suggesting that broad, not easily diversifiable, factors may lie behind this phenomenon.
- Notes:
- Print version record
- January 2008.
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