Campus Units
Economics
Document Type
Article
Publication Version
Accepted Manuscript
Publication Date
2013
Journal or Book Title
Journal of Banking & Finance
Volume
37
Issue
8
First Page or Article ID Number
3064
Last Page
6075
DOI
10.1016/j.jbankfin.2013.02.034
Abstract
This paper proposes a new approach to estimate the idiosyncratic volatility premium. In contrast to the popular two-pass regression method, this approach relies on a novel GMM-type estimation procedure that uses only a single cross-section of return observations to obtain consistent estimates. Also, it enables a comparison of idiosyncratic volatility premia estimated using stock returns with different holding periods. The approach is empirically illustrated by applying it to daily, weekly, monthly, quarterly, and annual US stock return data over the course of 2000–2011. The results suggest that the idiosyncratic volatility premium tends to be positive on daily return data, but negative on monthly, quarterly, and annual data. They also indicate the presence of a January effect.
Rights
This is an open access article distributed under the Creative Commons No Derivatives License, which permits unrestricted use and distribution, provided the original work is properly cited.
Copyright Owner
Elsevier Ltd.
Copyright Date
2013
Language
en
File Format
application/pdf
Recommended Citation
Khonvansky, Serguey and Zhylyevskyy, Oleksandr, "Impact of idiosyncratic volatility on stock returns: A cross-sectional study" (2013). Economics Publications. 46.
https://lib.dr.iastate.edu/econ_las_pubs/46
Comments
NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Banking & Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking & Finance, [37, 8, (2013)] DOI:10.1016/j.jbankfin.2013.02.034