Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns

2011 ◽  
Author(s):  
Alexander Barinov
Keyword(s):  
Cross Section ◽  
Idiosyncratic Volatility ◽  
Growth Options ◽  
The Cross

scholarly journals Growth options, macroeconomic conditions, and the cross section of credit risk

2013 ◽  
Vol 107 (2) ◽  
pp. 350-385 ◽  
Author(s):  
Marc Arnold ◽  
Alexander F. Wagner ◽  
Ramona Westermann
Keyword(s):  
Credit Risk ◽  
Cross Section ◽  
Growth Options ◽  
Macroeconomic Conditions ◽  
The Cross

The Determinants of Idiosyncratic Volatility

2017 ◽  
Vol 25 (4) ◽  
pp. 509-545
Author(s):  
Jaeuk Khil ◽  
Song Hee Kim ◽  
Eun Jung Lee
Keyword(s):  
Growth Rate ◽  
Time Series ◽  
Cross Section ◽  
Growth Rates ◽  
Idiosyncratic Volatility ◽  
Return Volatility ◽  
Firm Level ◽  
Cross Sectional ◽  
Asset Growth ◽  
The Cross

We investigate the cross-sectional and time-series determinants of idiosyncratic volatility in the Korean market. In particular, we focus on the empirical relation between firms’ asset growth rate and idiosyncratic stock return volatility. We find that, in the cross-section, companies with high idiosyncratic volatility tend to be small and highly leveraged, have high variance of ROE and Market to Book ratio, high turnover rate, and pay no dividends. Furthermore, firms with extreme (either high positive or negative) asset growth rates have high idiosyncratic return volatility than firms with moderate growth rates, suggesting the V-shaped relation between asset growth rate and idiosyncratic return volatility. We find that the V-shaped relation is robust even after controlling for other factors. In time-series, we find that firm-level idiosyncratic volatility is positively related to the dispersion of the cross-sectional asset growth rates. As a result, this study is contributed to show that the asset growth is the most important predictor of firm-level idiosyncratic return volatility in both the cross-section and the time-series in the Korean stock market. In addition, we show how the effect of risk factors varies with industries.

Does Expected Idiosyncratic Volatility Explain the Cross-Section of Expected Returns?

2019 ◽  
Author(s):  
Seongkyu Park ◽  
Kuo-Chiang (John) Wei ◽  
Linti Zhang
Keyword(s):  
Cross Section ◽  
Idiosyncratic Volatility ◽  
Expected Returns ◽  
The Cross

Idiosyncratic Volatility and the Cross-Section of Expected Returns

2005 ◽  
Author(s):  
Turan G. Bali ◽  
Nusret Cakici
Keyword(s):  
Cross Section ◽  
Idiosyncratic Volatility ◽  
Expected Returns ◽  
The Cross

Idiosyncratic Volatility and the Cross Section of Expected Returns

2008 ◽  
Vol 43 (1) ◽  
pp. 29-58 ◽  
Author(s):  
Turan G. Bali ◽  
Nusret Cakici
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Idiosyncratic Volatility ◽  
Expected Returns ◽  
Cross Sectional ◽  
Monthly Data ◽  
Portfolio Returns ◽  
Expected Stock Returns ◽  
The Cross ◽  
Data Frequency

AbstractThis paper examines the cross-sectional relation between idiosyncratic volatility and expected stock returns. The results indicate that i) the data frequency used to estimate idiosyncratic volatility, ii) the weighting scheme used to compute average portfolio returns, iii) the breakpoints utilized to sort stocks into quintile portfolios, and iv) using a screen for size, price, and liquidity play critical roles in determining the existence and significance of a relation between idiosyncratic risk and the cross section of expected returns. Portfoliolevel analyses based on two different measures of idiosyncratic volatility (estimated using daily and monthly data), three weighting schemes (value-weighted, equal-weighted, inverse volatility-weighted), three breakpoints (CRSP, NYSE, equal market share), and two different samples (NYSE/AMEX/NASDAQ and NYSE) indicate that no robustly significant relation exists between idiosyncratic volatility and expected returns.

scholarly journals A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns

2014 ◽  
Vol 49 (5-6) ◽  
pp. 1133-1165 ◽  
Author(s):  
René Garcia ◽  
Daniel Mantilla-García ◽  
Lionel Martellini
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Strong Predictor ◽  
Idiosyncratic Volatility ◽  
Cross Sectional ◽  
Volatility Risk ◽  
Model Free ◽  
Asymptotically Efficient Estimator ◽  
The Cross ◽  
Asymptotically Efficient

AbstractIn this paper, we formally show that the cross-sectional variance of stock returns is a consistent and asymptotically efficient estimator for aggregate idiosyncratic volatility. This measure has two key advantages: It is model free and observable at any frequency. Previous approaches have used monthly model-based measures constructed from time series of daily returns. The newly proposed cross-sectional volatility measure is a strong predictor for future returns on the aggregate stock market at the daily frequency. Using the cross section of size and book-to-market portfolios, we show that the portfolios’ exposures to the aggregate idiosyncratic volatility risk predict the cross section of expected returns.

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