greatest impediment to market efficiency. We also find that the impact of idiosyncratic volatility on the Vo/P anomaly is more …

This article examines the role of idiosyncratic volatility in explaining the cross-sectional variation of size- and … value-sorted portfolio returns. We show that the premium for bearing idiosyncratic volatility varies inversely with the …, past performance, liquidity and total volatility and also holds within an ICAPM specification of the risk …

The idiosyncratic volatility anomaly, as first documented in Ang, Hodrick, Xing, and Zhang (2006), has received … provide evidence towards distinguishing potential explanations. Our results show that the idiosyncratic volatility anomaly is … addition, we show that the idiosyncratic volatility anomaly is not due to the market microstructure effect and cannot be …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …

We study the effects of the investment horizon on asset price volatility using a Learning to Forecast experiment. We … investment horizons such bubbles do not emerge and price volatility tends to be lower. This is due to the fact that, for longer … relatively stable before participants start their prediction task, price volatility remains small, with prices close to their …

This work evaluates the behavior of portfolios comprised of Brazilian stocks ranked by their volatility to investigate … the low volatility anomaly.Between January 2003 and December 2021, the low volatility portfolio presented a 6% annual … return above the high volatility portfolio. This result is aligned with the observation made by Blitz and Van Vliet (2007) in …