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- W2963327618 abstract "We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average returns. This phenomenon cannot be explained by exposure to aggregate volatility risk. Size, book-to-market, momentum, and liquidity effects cannot account for either the low average returns earned by stocks with high exposure to systematic volatility risk or for the low average returns of stocks with high idiosyncratic volatility." @default.
- W2963327618 created "2019-07-30" @default.
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- W2963327618 date "2004-10-01" @default.
- W2963327618 modified "2023-09-27" @default.
- W2963327618 title "The Cross-Section of Volatility and Expected Returns" @default.
- W2963327618 hasPublicationYear "2004" @default.
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