Search engine for discovering works of Art, research articles, and books related to Art and Culture
Javascript must be enabled to continue!
A Separation Analysis of the Idiosyncratic Volatility-Return Relation
View through CrossRef
We employ a two-step estimation method to separate the upside and downside idiosyncratic volatility and examine its relation with future stock returns. We find that idiosyncratic volatility is negatively related to stock returns when the market is up and when it is down. The upside idiosyncratic volatility is not related to stock returns. Our results also suggest that the relation between downside idiosyncratic volatility and future stock returns is negative and significant. It is the downside idiosyncratic volatility that drives the inverse relation between total idiosyncratic volatility and stock returns. The results are consistent with the literature that investor overreact to bad news and underreact to good news.
Title: A Separation Analysis of the Idiosyncratic Volatility-Return Relation
Description:
We employ a two-step estimation method to separate the upside and downside idiosyncratic volatility and examine its relation with future stock returns.
We find that idiosyncratic volatility is negatively related to stock returns when the market is up and when it is down.
The upside idiosyncratic volatility is not related to stock returns.
Our results also suggest that the relation between downside idiosyncratic volatility and future stock returns is negative and significant.
It is the downside idiosyncratic volatility that drives the inverse relation between total idiosyncratic volatility and stock returns.
The results are consistent with the literature that investor overreact to bad news and underreact to good news.
Related Results
Tiny datablock in saving Hadoop distributed file system wasted memory
Tiny datablock in saving Hadoop distributed file system wasted memory
<p>Hadoop distributed file system (HDFS) is the file system whereby Hadoop is use it to store all the upcoming data inside it. Since it been declared, HDFS is consuming a hug...
Decomposition of Total Volatility: How Important Is Idiosyncratic Risk?
Decomposition of Total Volatility: How Important Is Idiosyncratic Risk?
In recent years there has been a lot of debate about volatility, the risk-on/risk-off market with a focus on macro and factor risks. Our research uses the methodology of Campbell e...
Expected Idiosyncratic Volatility Measures and Expected Returns
Expected Idiosyncratic Volatility Measures and Expected Returns
Is expected idiosyncratic volatility related to the cross section of asset returns? The answer depends crucially on the information set used to form the expectation. We find that...
The Short-Run and Long-Run Components of Idiosyncratic Volatility and Stock Returns
The Short-Run and Long-Run Components of Idiosyncratic Volatility and Stock Returns
To capture the dynamics of idiosyncratic volatility of stock returns over different horizons and investigate the relationship between idiosyncratic volatility and expected stock re...
On Volatility, Outliers, and Uncertainty
On Volatility, Outliers, and Uncertainty
This dissertation is composed of three loosely related chapters, all of which are empirical.In Chapter 1, I examine whether expectations are formed in a systematically different ma...
Internal and External Drivers of Consumers’ Product Return Behaviors
Internal and External Drivers of Consumers’ Product Return Behaviors
Product return is a necessary part of the exchange process between companies and customers. It accounts for approximately 16% of total sales and a reduction in retailer / manufactu...
The Impact of Interest Rate Volatility on Stock Returns Volatility: Empirical Evidence from Pakistan Stock Exchange
The Impact of Interest Rate Volatility on Stock Returns Volatility: Empirical Evidence from Pakistan Stock Exchange
Apprehension pertaining to Stock return volatility always has been producing the appreciable significance in the various current research works and it has been lucrative to many re...
Crude oil arbitrage and momentum trading strategies with targeting volatility by using Large Language Models
Crude oil arbitrage and momentum trading strategies with targeting volatility by using Large Language Models
This paper is devoted to the execution of crude oil arbitrage and momentum strategies with volatility targeting by using Large Language Models (LLM), comparing efficiency and profi...