Financial Distress and Idiosyncratic Volatility: An Empirical Investigation
Columbia University - Columbia Business School
UiS Business School
Norwegian School of Economics (NHH)
December 16, 2009
We investigate the link between distress and idiosyncratic volatility. Specifically, we examine the twin puzzles of anomalously low returns for high idiosyncratic volatility stocks and high distress risk stocks, documented by Ang et al (2006) and Campbell et al (2008), respectively. We document that these puzzles are empirically connected, and can be explained by a simple, theoretical, single-beta CAPM model.
Keywords: Distress risk, idiosyncratic volatility, single-beta CAPM
JEL Classification: G11, G12working papers series
Date posted: December 21, 2009 ; Last revised: March 24, 2010
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo6 in 0.359 seconds