The Cross-Section of Volatility and Expected Returns

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. Stocks with high idiosyncratic volatility relative to the Fama and French (1...

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Bibliographic Details
Published in:The Journal of finance (New York) 2006-02, Vol.61 (1), p.259-299
Main Authors: ANG, ANDREW, HODRICK, ROBERT J., XING, YUHANG, ZHANG, XIAOYAN
Format: Article
Language:English
Subjects:
Analytical forecasting
Asset valuation
Averages
Construction aggregate
Correlation analysis
Economic models
Expected returns
Financial economics
Financial models
Financial portfolios
Impact analysis
Innovations
Investment risk
Liquidity
Mathematical methods
Price momentum
Price volatility
Pricing
Rates of return
Risk
Stock prices
Stock returns
Stocks
Studies
Volatility
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