Financial distress and idiosyncratic volatility: An empirical investigation

Jing Chen, Lorán Chollete and Rina Ray

Journal of Financial Markets, 2010, vol. 13, issue 2, 249-267

Abstract: We investigate the link between distress and idiosyncratic volatility. Specifically, we examine the twin puzzles of anomalously low returns for high idiosyncratic volatility stocks and high distress risk stocks, documented by Ang et al. (2006) and Campbell et al. (2008), respectively. We document that these puzzles are empirically connected, and can be explained by a simple, theoretical, single-beta CAPM model.

Keywords: Distress; risk; Idiosyncratic; volatility; Single-beta; CAPM (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:13:y:2010:i:2:p:249-267

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