Corpus ID: 157510935

Two essays on idiosyncratic stock return volatilities

@inproceedings{Zhu2016TwoEO,
  title={Two essays on idiosyncratic stock return volatilities},
  author={Y. Zhu},
  year={2016}
}
  • Y. Zhu
  • Published 2016
  • Economics
  • I find that the negative relation between idiosyncratic volatility and subsequent stock returns (the IVOL puzzle) does not depend on whether the stocks perform well or poorly in the formation month, and the negative relation persists for a holding period of up to 12 months. This finding highlights that short-term return reversals can explain only part of the IVOL puzzle. I examine the missing factors proposed in the literature and find that the common IVOL factor can largely explain the… CONTINUE READING

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