Ang, Andrew; Hodrick, Robert J.; Xing, Yuhang; Zhang, … - In: Journal of Financial Economics 91 (2009) 1, pp. 1-23
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...
