Abstract

http://ssrn.com/abstract=1946502
 
 

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High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence


Andrew Ang


Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Robert J. Hodrick


Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Yuhang Xing


Rice University

Xiaoyan Zhang


Purdue University - Krannert School of Management

2009

Journal of Financial Economics, Vol. 91, pp. 1-23, January 2008

Abstract:     
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 United States, we rule out explanations based on trading frictions, information dissemination, and higher moments. There is strong covariation in the low returns to high-idiosyncratic-volatility stocks across countries, suggesting that broad, not easily diversifiable factors lie behind this phenomenon.

Number of Pages in PDF File: 52

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Date posted: October 21, 2011  

Suggested Citation

Ang, Andrew and Hodrick, Robert J. and Xing, Yuhang and Zhang, Xiaoyan, High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence (2009). Journal of Financial Economics, Vol. 91, pp. 1-23, January 2008 . Available at SSRN: http://ssrn.com/abstract=1946502

Contact Information

Andrew Ang (Contact Author)
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Robert J. Hodrick
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)
365 Fifth Avenue, 5th Floor
New York, NY 10016-4309
United States
Yuhang Xing
Rice University ( email )
6100 South Main Street
Houston, TX 7705-1892
United States
Xiaoyan Zhang
Purdue University - Krannert School of Management ( email )
403 WEST STATE STREET
West Lafayette, IN 47907-1310
United States
7654967674 (Phone)
HOME PAGE: http://web.ics.purdue.edu/~zhang654/
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