NDLI: The Memory of Stock Return Volatility: Asset Pricing Implications

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The Memory of Stock Return Volatility: Asset Pricing Implications

Content Provider	Scilit
Author	Nguyen, Duc Binh Benno Prokopczuk, Marcel Sibbertsen, Philipp
Copyright Year	2017
Description	Journal: SSRN Electronic Journal This paper examines long memory volatility in the cross-section of stock returns. We show that long memory volatility is widespread in the U.S. and that the degree of memory can be related to firm characteristics such as market capitalization, book-to-market ratio, prior performance and price jumps. Long memory volatility is negatively priced in the cross-section. Buying stocks with shorter memory and selling stocks with longer memory in volatility generates significant excess returns of 1.71% per annum. Consistent with theory, we find that the volatility of stocks with longer memory is more predictable than stocks with shorter memory. This makes the latter more uncertain, which is compensated for with higher average returns.
Related Links	http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-613.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3074550
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.3074550
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2017-11-20
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Asset Pricing Long Memory
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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