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Average idiosyncratic volatility in G7 countries

delete2008-04-11
delete115
PRE
AI
H
Hui Guo *
R
Robert Savickas
DOI：10.1093/rfs/hhn043delete
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摘要

摘要

En 中文
We argue that changes in average idiosyncratic volatility provide a proxy for changes in the investment opportunity set and that this proxy is closely related to the book-to-market factor. We test this idea in two ways using G7 countries' data. First, we show that idiosyncratic volatility has statistically significant predictive power for aggregate stock market returns over time. Second, we show that idiosyncratic volatility performs just as well as the book-to-market factor in explaining the cross section of stock returns. Our results suggest that the hedge against changes in investment opportunities is an important determinant of asset prices.
Keyword:
STOCK-MARKET VOLATILITY
BOOK-TO-MARKET
RISK
RETURNS
HETEROSKEDASTICITY
VALUATION
AGGREGATE
NUMBER
CRASH
TESTS
AI总结

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期刊

Review of Financial Studies 封面图
Review of Financial Studies
IF:
5.4
论文数:
2.8K
被引数:
3.0W

机构

U
University of Cincinnati
学者数:
1.8W
论文数: 1.4W
被引数: 2.2W
U
University System of Ohio
学者数:
15.5W
论文数: 13.0W
被引数: 200
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