Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns
Bibliographic Data
| ID | 19418370 |
|---|---|
| Authors | Hui Guo (0000-0002-5126-9785, Federal Reserve), Robert Savickas (George Washington University) |
| Year | 2006 |
| Volume | 24 |
| Issue | 1 |
| Pages | 43-56 |
| Publication date | 2006-01-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500105000000180 |
| OpenAlex | W2079757946 |
| Language | EN |
| Citations received | 4 |
| References cited | 43 |
We find that the value-weighted idiosyncratic stock volatility and aggregate stock market volatility jointly exhibit strong predictive power for excess stock market returns. The stock market risk–return relation is found to be positive, as stipulated by the capital asset pricing model; however, idiosyncratic volatility is negatively related to future stock market returns. Also, idiosyncratic volatility appears to be a pervasive macrovariable, and its forecasting abilities are very similar to those of the consumption–wealth ratio proposed by Lettau and Ludvigson
Capital asset pricing model · Econometrics · Economics · Financial economics · Forward volatility · Implied volatility · Monetary economics · Stock market · Stock market bubble · Stock market volatility · Volatility risk premium · Volatility smile · Volatility swap · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Market Dynamics and Volatility
Illiquidity and stock returns
Common risk factors in the returns on stocks and bonds
Modeling and Forecasting Realized Volatility
An Intertemporal Capital Asset Pricing Model
The theory and practice of corporate finance
Expected stock returns and volatility
An Investigation of the Risk and Return Relation at Long Horizons
Testing the Predictability of Stock Returns
Liquidity Risk and Expected Stock Returns
| Citations per year | 0.29 |
|---|---|
| Citation span | 2012 - 2023 (12) |
| Highly cited | No |