The Cross-Section of Volatility and Expected Returns

@article{Ang2006TheCO,
  title={The Cross-Section of Volatility and Expected Returns},
  author={Andrew Ang and R. Hodrick and Yuhang Xing and Xiaoyan Zhang},
  journal={Capital Markets: Asset Pricing \& Valuation eJournal},
  year={2006}
}
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 (1993, Journal of Financial Economics 25, 2349) model have abysmally low average returns. This phenomenon cannot be explained by exposure to aggregate volatility risk. Size, book-to-market, momentum… Expand
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Idiosyncratic Volatility and the Cross Section of Expected Returns
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