Abstract

http://ssrn.com/abstract=2023883
 
 

Citations (2)



 


 



Dissecting the Idiosyncratic Volatility Anomaly


Linda H. Chen


Washington State University

George J. Jiang


Washington State University

Danielle Xu


Gonzaga University

Tong Yao


University of Iowa - Henry B. Tippie College of Business

January 28, 2012


Abstract:     
The idiosyncratic volatility anomaly, as first documented in Ang, Hodrick, Xing, and Zhang (2006), has received considerable attention in the literature. In this paper, we examine the pervasiveness of the anomaly in various stock samples and provide evidence towards distinguishing potential explanations. Our results show that the idiosyncratic volatility anomaly is a common stock phenomenon. It is rather robust once we exclude microcaps, as defined in Fama and French (2008), or penny stocks (with prices below $5), or the month of January, corroborating the findings in Doran, Jiang, and Peterson (2010). In addition, we show that the idiosyncratic volatility anomaly is not due to the market microstructure effect and cannot be explained by short-term stock return reversal.

Number of Pages in PDF File: 40

Keywords: idiosyncratic volatility, stock returns, robustness, market microstructure effect

JEL Classification: G12, G14

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Date posted: March 17, 2012  

Suggested Citation

Chen, Linda H. and Jiang, George J. and Xu, Danielle and Yao, Tong, Dissecting the Idiosyncratic Volatility Anomaly (January 28, 2012). Available at SSRN: http://ssrn.com/abstract=2023883 or http://dx.doi.org/10.2139/ssrn.2023883

Contact Information

Linda H. Chen
Washington State University ( email )
Wilson Rd.
College of Business
Pullman, WA 99164
United States
5093355723 (Phone)
George Jiang (Contact Author)
Washington State University ( email )
Department of Finance and Management Science
College of Business
Pullman, WA 99-4746164
United States
509-3354474 (Phone)
HOME PAGE: http://www.cb.wsu.edu/directory/profile.cfm?emp=jiang_george
Danielle Xu
Gonzaga University ( email )
Spokane, WA 99258
United States
Tong Yao
University of Iowa - Henry B. Tippie College of Business ( email )
108 Pappajohn Business Building
Iowa City, IA 52242-1000
United States
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