Return Reversals, Idiosyncratic Risk and Expected Returns

摘要：

We examine what causes the significant negative relation between idiosyncratic risk and subsequent stock returns, as shown by Ang et al. (2006a, 2006b). Our analyses demonstrate that this negative relation is driven by monthly return reversals as documented in the previous literature (e.g. Jegadeesh (1990)). The abnormal positive returns from taking a long (short) position in the low (high) idiosyncratic risk portfolio are fully explained by an additional control variable, the winners minus losers portfolio returns, introduced to the conventional three- or four-factor time-series regression model. The cross-sectional regressions confirm that no significant relation exists between idiosyncratic risk and expected returns once we control for return reversals.

作者: Wei Huang Qianqiu Liu S.Ghon Rhee Liang Zhang

作者单位: Department of Financial Economics and Institutions,Shidler College of Business,University of Hawaii at Manoa, 2404 Maile Way, Honolulu, Hawaii, 96822

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）