The Cross-section of Expected Stock Returns and Components of Idiosyncratic Volatility

2021 ◽  
Author(s):  
Seyed Reza Tabatabaei Poudeh ◽  
Chengbo Fu
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Idiosyncratic Volatility ◽  
Expected Stock 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.

Idiosyncratic Risk and the Cross-Section of Expected Stock Returns

CFA Digest ◽  
2009 ◽  
Vol 39 (3) ◽  
pp. 75-77
Author(s):  
Chirag B. Patel
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Idiosyncratic Risk ◽  
Expected Stock Returns ◽  
The Cross

Safety First, Robust Dynamic Asset Pricing, and the Cross-Section of Expected Stock Returns

2011 ◽  
Author(s):  
Ariel M. Viale ◽  
Luis García-Feijóo ◽  
Antoine Giannetti
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Cross Section ◽  
Expected Stock Returns ◽  
The Cross ◽  
Dynamic Asset Pricing ◽  
Safety First

Market Sentiment and the Cross-section of Expected Stock Returns

2020 ◽  
Author(s):  
Gady Jacoby ◽  
Chi Liao ◽  
Sheldon Lin ◽  
Lei Lu
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Market Sentiment ◽  
Expected Stock Returns ◽  
The Cross

MVA and the Cross-Section of Expected Stock Returns

2001 ◽  
Vol 27 (3) ◽  
pp. 75-87 ◽  
Author(s):  
Ken C. Yook ◽  
George M. McCabe
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Expected Stock Returns ◽  
The Cross

Underfunding or distress? An analysis of corporate pension underfunding and the cross-section of expected stock returns

2017 ◽  
Vol 48 ◽  
pp. 116-133 ◽  
Author(s):  
Qizhi Tao ◽  
Carl Chen ◽  
Rui Lu ◽  
Ting Zhang
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Expected Stock Returns ◽  
Corporate Pension ◽  
The Cross
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