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The cross-section of volatility and expected returns
| Content Provider | Library of Congress - Books/Printed Material |
|---|---|
| Author | Ang, Andrew |
| Temporal Coverage | 2004 |
| Copyright Year | 2004 |
| Abstract | "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"--National Bureau of Economic Research web site. |
| Language | English |
| Publisher | National Bureau of Economic Research |
| Publisher Place | Cambridge, MA |
| Part of Series | Catalog |
| Requires | HTML5 supported browser |
| Access Restriction | Open |
| Subject Keyword | Prices Rate of Return Stocks |
| Subject Domain (in LCSH) | Stocks--Prices |
| Subject Domain (in LCSH) | Rate of return |
| Subject Domain (in LCC) | HB1 |
| Content Type | Text |
| Resource Type | Book |
