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• W2095441777 abstract "The existing literature finds conflicting results on the cross-sectional relation between expected returns and idiosyncratic volatility. We contend that at the firm level, the sample correlation between unexpected returns and expected idiosyncratic volatility can cloud the true relation between the expected return and expected idiosyncratic volatility. We show strong evidence that unexpected idiosyncratic volatility is positively related to unexpected returns. Using unexpected idiosyncratic volatility to control for unexpected returns, we find expected idiosyncratic volatility to be significantly and positively related to expected returns. This result holds after controlling for various firm characteristics, and is robust across different sample periods." @default.
• W2095441777 created "2016-06-24" @default.
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• W2095441777 date "2010-01-01" @default.
• W2095441777 modified "2023-09-28" @default.
• W2095441777 title "Expected Volatility, Unexpected Volatility, and the Cross-Section of Stock Returns" @default.
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