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• W2314997941 abstract "The well‐documented negative relationship between idiosyncratic volatility and stock returns is puzzling if investors are risk‐averse. However, under prospect theory, while investors are risk‐averse in the domain of gains, they exhibit risk‐seeking behavior in the domain of losses. Consistent with risk‐seeking investors’ preference for high‐volatility stocks in the loss domain, we find that the negative relationship between idiosyncratic volatility and stock returns is concentrated in stocks with unrealized capital losses, but is nonexistent in stocks with unrealized capital gains. This finding is robust to control for short‐term return reversals and maximum daily return, among other variables." @default.
• W2314997941 created "2016-06-24" @default.
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• W2314997941 date "2014-11-25" @default.
• W2314997941 modified "2023-10-18" @default.
• W2314997941 title "High Idiosyncratic Volatility and Low Returns: A Prospect Theory Explanation" @default.
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• W2314997941 doi "https://doi.org/10.1111/fima.12057" @default.
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