High idiosyncratic volatility and low returns
Subtitle: international and further U.S. evidence
By: Andrew Ang ... [et al.].
Contributors: Ang, Andrew.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 13739; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 13739.
Publisher: National Bureau of Economic Research
Published: 2008
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/11/2008.

Includes bibliographical references.

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Mode of access: World Wide Web.