Volatility And The Cross Section Of Equity Returns
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Volatility and the Cross-Section of Equity Returns
Author | : Ruslan Goyenko |
Publisher | : |
Total Pages | : 55 |
Release | : 2020 |
Genre | : |
ISBN | : |
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A number of papers document a strong negative relation between idiosyncratic volatility and risk-adjusted stock returns. Using IHS Markit data on indicative borrowing fees, we show that stocks with high idiosyncratic volatility are far more likely to be hard-to-borrow than stocks with low idiosyncratic volatility. When hard-to-borrow stocks are excluded, the relation between idiosyncratic volatility and stock returns disappears. The relation between idiosyncratic volatility and stocks returns is more accurately described as a relation between being hard-to-borrow and stock returns.
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