Showing 1 - 10 of 27
Average idiosyncratic stock volatility forecasts the bilateral exchange rates of the US dollar against major foreign currencies in and out of sample. The US dollar tends to appreciate after an increase in US idiosyncratic volatility. Similarly, ceteris paribus, German and Japanese idiosyncratic...
Persistent link: https://www.econbiz.de/10005213925
Consistent with the post-1962 US evidence by Ang et al. [Ang, A., Hodrick, R., Xing Y., Zhang, X., 2006. The cross-section of volatility and expected returns. Journal of Finance 51, 259-299], we find that stocks with high idiosyncratic variance (IV) have low CAPM-adjusted expected returns in...
Persistent link: https://www.econbiz.de/10008488022
Persistent link: https://www.econbiz.de/10005238401
We argue that changes in average idiosyncratic volatility provide a proxy for changes in the investment opportunity set and that this proxy is closely related to the book-to-market factor. We test this idea in two ways using G7 countries' data. First, we show that idiosyncratic volatility has...
Persistent link: https://www.econbiz.de/10005569907
Persistent link: https://www.econbiz.de/10011751779
We describe four channels through which breakups can potentially increase idiosyncratic volatility for parent firms. These are: loss of diversification (portfolio effect), change in growth opportunities, change in operational efficiency, and the flow and assimilation of information (information...
Persistent link: https://www.econbiz.de/10008866618
Persistent link: https://www.econbiz.de/10005540519
We investigate the relative importance of various bankruptcy predictors commonly used in the existing literature by applying a variable selection technique, the least absolute shrinkage and selection operator (LASSO), to a comprehensive bankruptcy database. Over the 1980–2009 period, LASSO...
Persistent link: https://www.econbiz.de/10011209860
Using options-implied variance, a forward-looking measure of conditional variance, we revisit the debate on the idiosyncratic risk-return relation. In both cross-sectional (for individual stocks) and time-series (for the market index) regressions, we find a negative relation between...
Persistent link: https://www.econbiz.de/10010785396
In this paper, I provide new evidence of the out-of-sample predictability of stock returns. In particular, I find that the consumption-wealth ratio in conjunction with a measure of aggregate stock market volatility exhibits substantial out-of-sample forecasting power for excess stock market...
Persistent link: https://www.econbiz.de/10005833014