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Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns
| Content Provider | Semantic Scholar |
|---|---|
| Author | Khovansky, Serguey Zhylyevskyy, Oleksandr |
| Copyright Year | 2012 |
| Abstract | We apply a new econometric method -- the generalized method of moments under a common shock -- to estimate idiosyncratic volatility premium and average idiosyncratic stock volatility. In contrast to the popular two-pass estimation approach of Fama and MacBeth (1973), the method requires using only a cross-section of return observations. We apply it to cross-sections of weekly U.S. stock returns in January and October 2008 and fiÂ…nd that during these months, the idiosyncratic volatility premium is nearly always negative and statistically signiÂ…cant. The results also indicate that the average idiosyncratic stock volatility increased by at least 50% between January and October. |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.1929023 |
| Alternate Webpage(s) | http://www2.econ.iastate.edu/faculty/zhylyevskyy/research/files/mea2012_KZ_slides.pdf |
| Alternate Webpage(s) | http://www2.econ.iastate.edu/papers/p14990-2012-01-31.pdf |
| Alternate Webpage(s) | http://www.econ.iastate.edu/sites/default/files/publications/papers/p14990-2012-01-31.pdf |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.1929023 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
