On The Relation Between Egarch Idiosyncratic Volatility And Expected Stock Returns
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On the Relation Between EGARCH Idiosyncratic Volatility and Expected Stock Returns
Author | : Hui Guo |
Publisher | : |
Total Pages | : 50 |
Release | : 2014 |
Genre | : |
ISBN | : |
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A spurious positive relation between EGARCH estimates of expected month t idiosyncratic volatility and month t stock returns arises when the month t return is included in the estimation of model parameters. We illustrate via simulations that this look-ahead bias is problematic for empirically observed degrees of stock return skewness and typical monthly return time series lengths. Moreover, the empirical idiosyncratic-return relation becomes negligible when expected month t idiosyncratic volatility is estimated using returns only upto month t-1.
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