The Idiosyncratic Volatility Puzzle – Anomaly or Data Mining?

Artikel

In this study, I investigate the robustness of the idiosyncratic volatility puzzle to the configuration of the research design. Using the regression- as well as the portfolio-based concept, I start with the replication of the idiosyncratic volatility puzzle approving the findings of Ang et al. (2006). However, when idiosyncratic volatility is estimated from monthly data and a time window spanning 1 or 5 years, the puzzle vanishes, regardless of the research method employed. Similar result hold if only stocks with a market capitalization above the cross-sectional median or those with a price higher than 10$ are used. Independent of the weighting scheme, the puzzle is also absent in the regression-based context when the risk premia are estimated by generalized least squares weighting returns by the inverse of their variance estimates. The same finding is derived in the portfolio-based context by extending the holding period to 12 months or controlling for the past month maximum daily return.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Junior Management Science (JUMS) ; ISSN: 2942-1861 ; Volume: 7 ; Year: 2022 ; Issue: 4 ; Pages: 945-985

Klassifikation und Themen

• Klassifikation: Management
• Thema: Idiosyncratic Volatility ; Cross-section of stock returns ; Predictability ; Risk Premium ; Robustness ; Idiosyncratic Volatility ; Cross-section of stock returns ; Predictability ; Risk Premium ; Robustness

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kowalke, Leon
• Ereignis: Veröffentlichung
• (wer): Junior Management Science e. V.
• (wo): Planegg
• (wann): 2022

Weitere Informationen

• DOI: doi:10.5282/jums/v7i4pp945-985
• Letzte Aktualisierung: 20.09.2024, 08:21 MESZ