High idiosyncratic volatility and low returns: International and further U.S. evidence

1,288 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks (2012, neutral): “Portfolios sorted on idiosyncratic return volatility In the top panel of Table 9 we replicate the empirical findings of Ang et al. (2006, 2009).”
Empirical cross-sectional asset pricing: a survey (2011, background): “In more recent work, Ang et al. (2006, 2009) present evidence that stock returns are negatively related to idiosyncratic risk.”
Do extreme returns matter in emerging markets? Evidence from the Chinese stock market (2017, positive): “Bali et al. (2011) also find that the MAX effect reverses the anomalous negative relationship between idiosyncratic volatility and stock returns (henceforth, the IV effect) first documented by Ang et al.”
Does Idiosyncratic Volatility Proxy for Risk Exposure (2012, background): “These two findings explain the idiosyncratic volatility puzzle of Ang et al. (2006, 2009).”
Expected stock returns and variance risk premia (2007, neutral): “28 Related to this, Ang et al. (2009) rely on forward looking volatility estimates constructed by instrumental variables procedures in their analysis of cross-sectional pricing of idiosyncratic volatility.”