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High idiosyncratic volatility and low returns: International and further U.S. evidence

机译：高特质波动和低回报：国际和美国的进一步证据

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摘要

Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility is -1.31% per month, after controlling for world market, size, and value factors. The effect is individually significant in each G7 country. In the United States, we rule out explanations based on trading frictions, information dissemination, and higher moments. There is strong covariation in the low returns to high-idiosyncratic-volatility stocks across countries, suggesting that broad, not easily diversifiable factors lie behind this phenomenon.
机译：过去具有特殊波动性的股票在全球范围内的未来平均回报率较低。在控制世界市场，规模和价值因素之后，在23个发达市场中，按特有波动率排序的极端五分位数投资组合之间的平均收益差异为-1.31％/月。在每个七国集团（G7）国家中，影响都是显着的。在美国，我们排除基于贸易摩擦，信息传播和更高时刻的解释。各国高异质性波动率股票的低收益之间存在很大的协变关系，这表明这一现象背后存在广泛的，不易分散的因素。

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  • 来源
    《Journal of financial economics》 |2009年第1期|1-23|共23页
  • 作者

    Andrew Ang; Robert J. Hodrick; Yuhang Xing; Xiaoyan Zhang;

  • 作者单位

    Columbia Business School, Columbia University and NBER, 3022 Broadway 413 Uris, New York, NY 10027, USA;

    Columbia Business School, Columbia University and NBER, 3022 Broadway 414 Uris, New York, NY 10027, USA;

    Jones School of Management, Rice University, Km 230. MS 531, 6100 Main Street, Houston, TX 77004, USA;

    Johnson Graduate School of Management, Cornell University, 336 Sage Hall, Ithaca, NY 14850, USA;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    cross-section of stock returns; predictability; factor model;

    机译：股票收益的横截面;可预测性因素模型;

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