The timing of low-volatility strategy

Ching-Chi Hsu and Miao-Ling Chen

Finance Research Letters, 2017, vol. 23, issue C, 114-120

Abstract: This study explores the role of investor attention impact on low-volatility strategy. Our evidence suggests that a low-volatility strategy for high investor attention stocks is more profitable than low investor attention stocks. Conditioned on high investor attention, the profitability of a low-volatility strategy significantly increases due to lower returns on higher idiosyncratic volatility stocks. Consistent with recent optimal beliefs theory, investors’ propensity for gambling-type strategies leads to negative returns with high idiosyncratic volatility stocks. Our results provide a behavioral support to explain the low-volatility strategy based on investors’ propensity to gamble.

Keywords: Investor attention; Low-volatility strategy; Propensity to gamble (search for similar items in EconPapers)
JEL-codes: G02 G12 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612317300417
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:23:y:2017:i:c:p:114-120

DOI: 10.1016/j.frl.2017.05.014

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().