| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13739 |
| 来源ID | Working Paper 13739 |
| High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence | |
| Andrew Ang; Robert J. Hodrick; Yuhang Xing; Xiaoyan Zhang | |
| 发表日期 | 2008-01-22 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility is -1.31% per month, after controlling for world market, size, and value factors. The effect is individually significant in each G7 country. In the U.S., we rule out explanations based on trading frictions, information dissemination, and higher moments. There is strong comovement in the low returns to high idiosyncratic volatility stocks across countries, suggesting that broad, not easily diversifiable, factors may lie behind this phenomenon. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w13739 |
| 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/571414 |
| 推荐引用方式 GB/T 7714 | Andrew Ang,Robert J. Hodrick,Yuhang Xing,et al. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. 2008. |
| 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 | ||
| w13739.pdf（212KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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