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- W4311660571 endingPage "1648" @default.
- W4311660571 startingPage "1621" @default.
- W4311660571 abstract "We investigate the joint ability of fundamental-based and market-based news to explain the anomalous underperformance of stocks with high idiosyncratic volatility (high IVOL). An out-of-sample prediction of future profitability is adopted as a proxy for fundamental–based news while market-based news is represented by the 52-week high price ratio. A sample of UK stocks over the period January 1996 to December 2017 is analysed. The empirical results indicate that both the fundamental-based projected profitability and the 52-week high price ratio are important in explaining the IVOL anomaly. In contrast, individually, neither variable fully accounts for the anomaly. This relation is more pronounced following a period of high sentiment and during an upmarket. Further results suggest that underreaction lies at the heart of this explanation." @default.
- W4311660571 created "2022-12-27" @default.
- W4311660571 creator A5048025373 @default.
- W4311660571 creator A5049845076 @default.
- W4311660571 creator A5084268715 @default.
- W4311660571 date "2022-12-06" @default.
- W4311660571 modified "2023-09-30" @default.
- W4311660571 title "Expected profitability, the 52-week high and the idiosyncratic volatility puzzle" @default.
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