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The Cross-Section of Volatility and Expected Returns
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This paper examined the pricing of aggregate volatility risk in the cross-section of stock returns and found that stocks with high sensitivities to innovations in aggregate volatility have low average returns, and that stock with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low return.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 volatilityread more
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Optimal Portfolio Selection with a Shortfall Probability Constraint: Evidence from Alternative Distribution Functions
Yalcin Akcay,Atakan Yalcin +1 more
TL;DR: In this paper, the authors proposed a new approach to optimal portfolio selection in a downside risk framework that allocates assets by maximizing expected return subject to a shortfall probability constraint, reflecting the typical desire of a risk-averse investor to limit the maximum likely loss.
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Leverage As A Weapon of Mass Shareholder-Value Destruction; Another Look at the Low-Beta Anomaly
TL;DR: In this paper, the authors proposed that the low-volatility anomaly stems from a destruction of shareholder value, and the strong implication is that the more market leverage a firm has, the more shareholder value is destroyed.
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Fama-French 1992 Redux with Robust Statistics
TL;DR: In this paper, the authors compare the results of using both least squares and robust regression methods for the models presented in Fama and French (1992) (FF92), as well as some extensions to these models, over the time period 1963-2015 and subsets thereof.
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Risk-Return Relationship in High Frequency Data: Multiscale Analysis and Long Memory
TL;DR: In this paper, the relationship between the return on a stock index and its volatility using high frequency data was investigated using wavelet multiresolution analysis, and two well-known hypotheses were reexamined: the leverage effect and the volatility feedback effect hypotheses.
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Idiosyncratic Volatility, Measurement Frequency and Return Reversal
TL;DR: In this article, the negative relation between idiosyncratic volatility and expected returns is examined, and a strong positive relation between time-varying risk premium and idiosyncratic variance is found for portfolios containing stocks with low past returns and small portfolio.
References
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