The cross-section of volatility and expected returns
By: Andrew Ang ... [et al.].
Contributors: Ang, Andrew.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10852; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10852.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Stocks -- Prices.; Rate of return.
Description: "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"--National Bureau of Economic Research web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 1/5/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.