Idiosyncratic Volatility Covariance and Expected Stock Returns

David R. Peterson; Adam R. Smedema

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Idiosyncratic Volatility Covariance and Expected Stock Returns

机译：特质波动协方差和预期股票收益

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Given that the idiosyncratic volatility (IDVOL) of individual stocks co-varies, we develop a model to determine how aggregate idiosyncratic volatility (AIV) may affect the volatility of a portfolio with a finite number of stocks. In portfolio and cross-sectional tests, we find that stocks whose returns are more correlated with AIV innovations have lower returns than those that are less correlated with AIV innovations. These results are robust to controlling for the stock's own IDVOL and market volatility. We conclude that risk-averse investors pay a premium for stocks that pay well when AIV is high, consistent with our model.

机译：鉴于单个股票的特质波动率（IDVOL）共同变量，我们开发了一个模型来确定总特质波动率（AIV）如何影响有限数量股票的投资组合的波动性。在投资组合和横截面测试中，我们发现与AIV创新相关性更高的股票的收益低于与AIV创新相关性更低的股票的收益。这些结果对于控制股票自身的IDVOL和市场波动具有鲁棒性。我们得出的结论是，规避风险的投资者会为AIV较高时支付高的股票支付溢价，这与我们的模型一致。

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来源
《Financial management》 |2013年第3期|517-536|共20页
作者
David R. Peterson; Adam R. Smedema;
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作者单位

College of Business at Florida State University in Tallahassee, Florida;

Department of Finance, College of Business Administration at University of Northern Iowa in Cedar Falls, IA;

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Idiosyncratic Volatility Covariance and Expected Stock Returns

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