The Cross-Section of Volatility and Expected Returns

By Andrew Ang, R. Hodrick, Yuhang Xing, Xiaoyan Zhang. 2006

4,314 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c967997e9e4fc3c91eba1b043af69c4a008aeb05

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Citations in the corpus

The Price of Correlation Risk: Evidence from Equity Options (2009, background): “18 An interesting related question is why individual variance risk is not priced, which is also related to the pricing of idiosyncratic risk, analyzed by Ang et al. (2006) in the cross-section of stock returns and in the time-series sense in Goyal and Santa-Clara (2003).”
Testing International Asset Pricing Models Using Implied Costs of Capital (2008, neutral): “Firms with higher volatilities are found to have lower subsequent returns in Ang et al. (2006, 2007) but higher subsequent returns in other studies (Spiegel and Wang (2006) and Malkiel and Xu (2002)).”
In Search of Distress Risk (2008, positive): “This implies that distressed stocks are vulnerable to increases in marketwide risk or risk aversion, but it does not help explain the low returns to these stocks as increases in the VIX are normally taken to be negative events, and stocks that do poorly at such times typically have high average retu”
Can Growth Options Explain the Trend in Idiosyncratic Risk (2008, background): “Apedjinou and Vassalou (2004) show that firms with larger corporate ‘‘innovations’’ (the change in gross profit margins not explained by changes in capital and labor utilized) have higher firm-specific volatility. Since firm innovations and R&D both proxy for growth options, this evidence suggests i”
Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance (2013, methodology): “23 To control for this possibility, and to ensure that fund herding captures imitation in sequential trading decisions, we re-estimate our baseline fund trade regression (1) after including the fund’s own past trades in a given stock, Tradei,j,t−1:”
Size matters, if you control your junk (2018, background): “…2008 ), low use of accruals ( Sloan, 1996; Richardson et al., 2005 ), payout ( Baker and Wurgler, 2002; Pontiff and Woodgate, 2008 ), low risk ( Ang et al., 2006, 2009; Black et al., 1972; Frazzini and Pedersen, 2014 ), low leverage ( George and Hwang, 2010 ; Penman et al., 2007 ), low credit…”
Volatility Spreads and Expected Stock Returns (2009, neutral): “These results are in contrast to the analysis of Ang et al. (2006), who use the one-month lagged realized volatility to proxy for expected volatility and find that high volatility portfolios generate unusually low returns.”
Liquidity Shocks and Stock Market Reactions (2014, background): “The monthly idiosyncratic volatility of stock i (IVOL) is computed as in Ang et al. (2006). The stock’s extreme positive return (MAX) is defined as its maximum daily return in a month following Bali, Cakici, and Whitelaw (2011). Following Diether, Malloy, and Scherbina (2002), analyst earnings forec”
How Wise Are Crowds? Insights from Retail Orders and Stock Returns (2013, neutral): “…on KST’s Table III.17 The Internet Appendix presents similar results in tests that control for return predictability from abnormal turnover as in Gervais, Kaniel, and Mingelgrin (2001), one-year return momentum as in Jegadeesh and Titman (1993), and idiosyncratic volatility as in Ang et al. (2006).”