Excess volatility and the cross-section of stock returns

Yuming Wang · Jinpeng Ma

18 citations0/0 files storedThe North American Journal of Economics and Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

We document a reliable positive relation between excess volatility and the cross-section of stock returns over the sample period of 1963 to 2010. Significantly positive differentials have been found between the two decile portfolios with the largest and the least excess volatility, under all the situations we have examined. Size, value, and momentum effects cannot explain our empirical results. Likewise they cannot be explained by liquidity, bid-ask bounce, and risk-aversion-related inventory effects.

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1985Does the Stock Market Overreact?1996Multifactor Explanations of Asset Pricing Anomalies 1998Investor Psychology and Security Market Under‐ and Overreactions

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