| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18560 |
| 来源ID | Working Paper 18560 |
| Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle | |
| Robert F. Stambaugh; Jianfeng Yu; Yu Yuan | |
| 发表日期 | 2012-11-21 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Short selling, as compared to purchasing, faces greater risks and other potential impediments. This arbitrage asymmetry explains the negative relation between idiosyncratic volatility (IVOL) and average return. The IVOL effect is negative among overpriced stocks but positive among underpriced stocks, with mispricing determined by combining 11 return anomalies. The negative effect is stronger, consistent with asymmetry in risks and other impediments inhibiting arbitrageurs in exploiting overpricing. Aggregating across all stocks therefore yields a negative relation, explaining the IVOL puzzle. Further supporting our explanation is a negative relation over time between the IVOL effect and investor sentiment, especially among overpriced stocks. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w18560 |
| 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/576235 |
| 推荐引用方式 GB/T 7714 | Robert F. Stambaugh,Jianfeng Yu,Yu Yuan. Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle. 2012. |
| 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 | ||
| w18560.pdf（177KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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