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- Title
Expected Idiosyncratic Volatility Measures and Expected Returns.
- Authors
Fink, Jason D.; Fink, Kristin E.; He, Hui
- Abstract
We find that idiosyncratic volatility forecasts using information available to traders at the time of the forecast are not related to expected returns. The positive relation documented in a number of other papers only exists when forward-looking information is incorporated into the volatility estimate. That positive relation is driven by the realized idiosyncratic volatility component that cannot be forecasted by investors. Our findings are robust to several different empirical tests, volatility forecasting models and time periods.
- Subjects
IDIOSYNCRATIC risk (Securities); MARKET volatility; EXPECTED returns; ECONOMIC forecasting; FLOOR traders (Finance)
- Publication
Financial Management (Wiley-Blackwell), 2012, Vol 41, Issue 3, p519
- ISSN
0046-3892
- Publication type
Article
- DOI
10.1111/j.1755-053X.2012.01209.x