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| Author: | Ang, A. (et al.) |
| Title: | High idiosyncratic volatility and low returns: International and further U.S. evidence |
| Journal: | Journal of Financial Economics
2009 : JAN, VOL. 91:1, p. 1-23 |
| Index terms: | stock returns volatility international USA models |
| Freeterms: | predictability |
| Language: | eng |
| Abstract: | Around the world, stocks with recent past high idiosyncratic volatility have low future average returns (here as: a-rets). Across 23 developed markets, the difference in a-rets. btw. the extreme quintile portfolios sorted on idiosyncratic volatility (here as: i-v.) is -1.31 percent per month, after controlling for world market, size, and value factors. The effect is individually significant in each G7 country. In the United States (U.S.), explanations basing on trading frictions, information dissemination, and higher moments are ruled out. There is strong covariation in the low returns to high-i-v. stocks across countries, which suggests broad, not easily diversifiable factors behind this phenomenon. |
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