Revisiting Idiosyncratic Volatility And Stock Returns
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Revisiting Idiosyncratic Volatility and Stock Returns
Author | : Fatma Saryal Sonmez |
Publisher | : |
Total Pages | : 29 |
Release | : 2013 |
Genre | : |
ISBN | : |
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This paper's aim is to revisit the relation between idiosyncratic volatility and future stock returns. There are three key findings: First, we confirm earlier studies which show a negative relation. Further we show that it is the month to month changes in idiosyncratic volatility that produce this observed relation. More specifically, a portfolio of stocks that move from a lower (higher) idiosyncratic volatility quintile to higher (lower) one earns positive (negative) abnormal returns. Eliminating all firm-month observations with idiosyncratic volatility quintile changes, we find a positive relation. Second, we link our findings with corporate related events. Third, we find that after 2000, the idiosyncratic volatility effect disappears.
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