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Idiosyncratic volatility, returns, and mispricing: No real anomaly in sight
| Content Provider | Semantic Scholar |
|---|---|
| Author | Zaremba, Adam Czapkiewicz, Anna Bedowska-Sójka, Barbara |
| Copyright Year | 2017 |
| Abstract | Abstract Recent empirical evidence has shown that the relationship between idiosyncratic volatility and a stock's expected return depends on the pricing of the stock: it is negative among overvalued stocks and positive among undervalued ones. We provide both theoretical and numerical evidence that this risk-return relationship might be driven purely by mathematical properties of return distributions. Using a simulation-based approach, we document that even in completely random samples, the correlation between idiosyncratic risk and mean returns depends on the ex-post estimation of abnormal returns. |
| Starting Page | 163 |
| Ending Page | 167 |
| Page Count | 5 |
| File Format | PDF HTM / HTML |
| DOI | 10.1016/j.frl.2017.09.002 |
| Volume Number | 24 |
| Alternate Webpage(s) | http://isiarticles.com/bundles/Article/pre/pdf/101430.pdf |
| Alternate Webpage(s) | https://doi.org/10.1016/j.frl.2017.09.002 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
