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The Cross-Section of Volatility and Expected Returns / 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. w10852.
- NBER working paper series no. w10852
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2004.
- Summary:
- We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average returns. This phenomenon cannot be explained by exposure to aggregate volatility risk. Size, book-to-market, momentum, and liquidity effects cannot account for either the low average returns earned by stocks with high exposure to systematic volatility risk or for the low average returns of stocks with high idiosyncratic volatility.
- Notes:
- Print version record
- October 2004.
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