Book/Printed Material The cross-section of volatility and expected returns

Title

• The cross-section of volatility and expected returns

Summary

• "We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average returns. This phenomenon cannot be explained by exposure to aggregate volatility risk. Size, book-to-market, momentum, and liquidity effects cannot account for either the low average returns earned by stocks with high exposure to systematic volatility risk or for the low average returns of stocks with high idiosyncratic volatility"--National Bureau of Economic Research web site.

Names

• Ang, Andrew
• National Bureau of Economic Research

Created / Published

• Cambridge, MA : National Bureau of Economic Research, c2004.

Headings

• -  Rate of return
• -  Stocks--Prices

Notes

• -  Title from PDF file as viewed on 1/5/2005.
• -  Includes bibliographical references.
• -  Also available in print.
• -  Mode of access: World Wide Web.
• -  System requirements: Adobe Acrobat Reader.

Call Number/Physical Location

• HB1

Digital Id

• https://hdl.loc.gov/loc.gdc/gdcebookspublic.2005615099
• http://papers.nber.org/papers/W10852 External

Library of Congress Control Number

• 2005615099

Access Advisory

• Unrestricted online access

Online Format

• image
• pdf

LCCN Permalink

• https://lccn.loc.gov/2005615099

Additional Metadata Formats

• MARCXML Record
• MODS Record
• Dublin Core Record