The Dynamic Behavior of the Idiosyncratic Volatility Discount: Aggregate Idiosyncratic Volatility and Return Reversals Revisited

1 January 2009

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.1343876

Abstract

Recent studies have argued that short-term return reversals can explain the low returns on high idiosyncratic volatility stocks documented by Ang et al. (2006).

Keywords

BEHAVIOR
IDIOSYNCRATIC VOLATILITY
RETURN REVERSALS
DISCOUNT
AGGREGATE
STOCKS
ANG

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