The cross-section of volatility and expected returns
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The cross-section of volatility and expected returns

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Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

Subjects:

  • Stocks -- Prices.,
  • Rate of return.

Book details:

Edition Notes

StatementAndrew Ang ... [et al.].
SeriesNBER working paper series ;, working paper 10852, Working paper series (National Bureau of Economic Research : Online) ;, working paper no. 10852.
ContributionsAng, Andrew., National Bureau of Economic Research.
Classifications
LC ClassificationsHB1
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL3475704M
LC Control Number2005615099

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Cross-Section of Volatility and Expected Returns of assets that may have different exposures to aggregate volatility and hence different average returns. Our logic is the following. If aggregate volatility is a risk factor that is orthogonal to existing risk factors, the sensitivity of stocks. nathan, and Runkle ()), the question of how aggregate volatility affects the cross-section of expected stock returns has received less attention. Time-varying market volatility induces changes in the investment opportunity set by changing the expectation of future market returns, or .   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 by: The Cross-Section of Volatility and Expected Returns Article in The Journal of Finance 61(1) February with 1, Reads How we measure 'reads'.

  We examine how volatility risk, both at the aggregate market and individual stock level, is priced in the cross-section of expected stock returns. Stocks that have past high sensitivities to innovations in aggregate volatility have low average by: The authors use cross-sectional stock returns to determine whether market volatility is a priced risk factor and, if so, to estimate the price of aggregate volatility risk using a sample of returns from to Get this from a library! The Cross-Section of Volatility and Expected Returns. [Andrew Ang;] -- 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. Over forty years ago, one of the first tests of the capital asset pricing model (CAPM) found that the market beta was a significant explanator of the cross-section of expected returns. The reported t -statistic of in Fama and MacBeth (, Table III) comfortably exceeded the usual cutoff of

Downloadable! 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. Stocks with high idiosyncratic volatility relative to the Fama and French (, Journal of Financial Econom ) model have abysmally low average. Get this from a library! The cross-section of volatility and expected returns. [Andrew Ang; National Bureau of Economic Research.;] -- "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. 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. Stocks with high idiosyncratic volatility relative to the Fama and French (, Journal of Financial Econom ) model have abysmally low average returns. The cross section of cashflow volatility and expected stock returns☆ Alan Guoming Huang⁎ School of Accounting and Finance, and Center for Advanced Studies in Finance, University of Waterloo, Waterloo, Canada ON N2L 3G1 article info abstract Article history: Received 20 May Received in revised 6 October Accepted 14 January