Construct · 1 fields · 1 citations

idiosyncratic volatility puzzle: a standalone construct

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Asset pricing

the finding that stocks with high firm-specific return volatility earn abnormally low subsequent average returns, contrary to standard risk-return logic.

In asset pricing, idiosyncratic volatility puzzle refers to the finding that stocks with high firm-specific return volatility earn abnormally low subsequent average returns, contrary to standard risk-return logic. This meaning comes from Ang (2006) in The Journal of Finance.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs return3 fields · 3 citationsjingle · one word, three constructs volatility3 fields · 4 citationsjingle · one word, three constructs

References

Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The Cross‐Section of Volatility and Expected Returns. The Journal of Finance, 61(1), 259-299. https://doi.org/10.1111/j.1540-6261.2006.00836.x

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