Volatility and the Cross-Section of Equity Returns
Author | : Ruslan Goyenko |
Publisher | : |
Total Pages | : 55 |
Release | : 2020 |
ISBN-10 | : OCLC:1300147929 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Volatility and the Cross-Section of Equity Returns written by Ruslan Goyenko and published by . This book was released on 2020 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of papers document a strong negative relation between idiosyncratic volatility and risk-adjusted stock returns. Using IHS Markit data on indicative borrowing fees, we show that stocks with high idiosyncratic volatility are far more likely to be hard-to-borrow than stocks with low idiosyncratic volatility. When hard-to-borrow stocks are excluded, the relation between idiosyncratic volatility and stock returns disappears. The relation between idiosyncratic volatility and stocks returns is more accurately described as a relation between being hard-to-borrow and stock returns.