Work

Excess volatility and the cross-section of stock returns

Year: 2013

Type: article

Abstract: We document a reliable positive relation between excess volatility and the cross-section of stock returns over the sample period of 1963 to 2010. Significantly positive differentials have been found between the two decile portfolios with the largest and the least excess volatility, under all the situations we have examined. Size, value, and momentum effects cannot explain our empirical results. Likewise they cannot be explained by liquidity, bid-ask bounce, and risk-aversion-related inventory effects.

Source: The North American Journal of Economics and Finance

DOI: 10.1016/j.najef.2013.10.003

Authors: Yuming Wang, Jinpeng Ma

Institutions: Shanghai University of Finance and Economics, Rutgers, The State University of New Jersey

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,050

Funders: Sichuan University, Shanghai University of Finance and Economics