The robust “maximum daily return effect as demand for lottery” and “idiosyncratic volatility puzzle”
نویسندگان
چکیده
منابع مشابه
The idiosyncratic volatility puzzle and mergers and acquisitions activity
This paper examines whether the puzzling negative relationship between idiosyncratic volatility and next month performance is affected by the intensity of merger and acquisition (M&A) activity in the market. Our results show that the idiosyncratic volatility puzzle is stronger in periods of high M&A activity than in periods of low M&A activity. Further analysis shows that the negative relations...
متن کاملThe Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?
Campbell, Lettau, Malkiel, and Xu (2001) document a positive trend in idiosyncratic volatility during the 1962–1997 period. We show that by 2003 volatility falls back to pre-1990s levels. Furthermore, we show that the increase and subsequent reversal is concentrated among firms with low stock prices and high retail ownership. This evidence suggests that the increase in idiosyncratic volatility ...
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abstract: about 60% of total premium of insurance industry is pertained?to life policies in the world; while the life insurance total premium in iran is less than 6% of total premium in insurance industry in 2008 (sigma, no 3/2009). among the reasons that discourage the life insurance industry is the problem of adverse selection. adverse selection theory describes a situation where the inf...
15 صفحه اولDissecting the Idiosyncratic Volatility Anomaly
The finding that stocks with high idiosyncratic volatility tend to have low future returns, as first documented in Ang, Hodrick, Xing, and Zhang (2006), has been dubbed as the idiosyncratic volatility anomaly in the finance literature. Several studies have since explored various potential explanations of the anomalous relation between idiosyncratic volatility and stock returns. Some studies eve...
متن کاملPrice Momentum and Idiosyncratic Volatility
We show that stocks with higher idiosyncratic volatility display greater price momentum; a relation which is economically large, statistically significant, and robust. Stocks with higher idiosyncratic volatility also experience quicker and larger reversals. These findings are consistent with the view that momentum profits are attributable to underreaction to firm-specific information. Our findi...
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2018
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2018.03.001