Idiosyncratic Volatility And Cross Section Of Stock Returns
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Idiosyncratic Volatility and Cross-Section of Stock Returns
Author | : Prashant Sharma |
Publisher | : |
Total Pages | : |
Release | : 2016 |
Genre | : |
ISBN | : |
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The present study examines the cross-sectional pricing ability of idiosyncratic volatility (IV) in Indian stock market and investigates the relationship amongst expected idiosyncratic volatility (EI), unexpected idiosyncratic volatility (UI), and cross-section of stocks returns. The study uses ARIMA (2, 0, 1) model to IV into EI and UI. The stocks returns are regressed on IV, EI and UI using Newey-West (1987) corrections, in order to investigate their empirical relationship. The study finds that IV is positively related with stock returns. Further the IV significantly explains the cross-section of stock returns in Indian context. After imposing control over UI, as it is highly correlated with unexpected returns, the inter-temporal relationship between EI and expected returns turns out to be positive.
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