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High idiosyncratic volatility and low returns: international and further U.S. evidence (2008)
by
Andrew Ang
,
Robert J. Hodrick
,
Yuhang Xing
,
Xiaoyan Zhang
| Venue: | Journal of Financial Economics, Vol.91 Issue |
| Citations: | 79 - 2 self |
BibTeX
@ARTICLE{Ang08highidiosyncratic,
author = {Andrew Ang and Robert J. Hodrick and Yuhang Xing and Xiaoyan Zhang},
title = {High idiosyncratic volatility and low returns: international and further U.S. evidence},
journal = {Journal of Financial Economics, Vol.91 Issue},
year = {2008},
pages = {1--23}
}
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Abstract
international predictability, factor model We thank Kewei Hou and Soeren Hvidjkaer for kindly providing data. Andrew Ang acknowledges support from the NSF.
