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Impact of Idiosyncratic Volatility on Stock Returns: A Cross-Sectional Study · Study

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ArticleImpact of Idiosyncratic Volatility on Stock Returns: A Cross-Sectional Study

Serguey Khovansky2012

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Impact of Idiosyncratic Volatility on Stock Returns: A Cross-Sectional Study

Serguey Khovansky · Oleksandr Zhylyevskyy

26 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 2003Analysis of Panel Data 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]

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Year2012

Typearticle

Published2012-01-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations26

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2013.02.034

openalex_workW2000221482

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2017Idiosyncratic risk and the cross section of stock returns 2018Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility 2010Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns