The dynamic relation between returns and idiosyncratic volatility

被引：40

作者：

Jiang, Xiaoquan ^{[1
]}

Lee, Bong-Soo

机构：

[1] Univ No Iowa, Cedar Falls, IA 50614 USA

[2] Korea Adv Inst Sci & Technol, Grad Sch Finance, Seoul, South Korea

[3] Florida State Univ, Tallahassee, FL 32306 USA

来源：

FINANCIAL MANAGEMENT | 2006年 / 35卷 / 02期

关键词：

D O I：

10.1111/j.1755-053X.2006.tb00141.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We claim that regressing excess returns on one-lagged volatility provides only a limited picture of the dynamic effect of idiosyncratic risk, which tends to be persistent over time. By correcting for the serial correlation in idiosyncratic volatility, we find that idiosyncratic volatility has a significant positive effect. This finding seems robust for various firm size portfolios, sample periods, and measures of idiosyncratic risk. Our findings suggest stock markets mis-price idiosyncratic risk. There may be some measurement problems with idiosyncratic risk that could be related to nondiversiflable risk.

引用

页码：43 / 65

页数：23

共 42 条

[31] Liquidity risk and expected stock returns [J].