| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10852 |
| 来源ID | Working Paper 10852 |
| The Cross-Section of Volatility and Expected Returns | |
| Andrew Ang; Robert J. Hodrick; Yuhang Xing; Xiaoyan Zhang | |
| 发表日期 | 2004-10-25 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w10852 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568485 |
| 推荐引用方式 GB/T 7714 | Andrew Ang,Robert J. Hodrick,Yuhang Xing,et al. The Cross-Section of Volatility and Expected Returns. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10852.pdf（294KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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