Price nonsynchronicity, idiosyncratic risk, and expected stock returns in China

Huaigang Long, Adam Zaremba and Yuexiang Jiang

Economic Research-Ekonomska Istraživanja, 2020, vol. 33, issue 1, 160-181

Abstract: We are the first to examine the pricing of relative idiosyncratic risk, or price nonsynchronicity, in the Chinese equity market. Using several tests, we investigate returns on more than 2700 companies in the period 1998 to 2018. Contrary to the U.S. evidence, price nonsynchronicity negatively predicts future returns in the cross-section. A value-weighted strategy going long (short) the quintile of least (most) synchronised stocks produces a negative monthly six-factor model alpha of −0.61%. Also, we demonstrate that the effect is driven by the low-idiosyncratic volatility anomaly. Once the absolute idiosyncratic risk is taken into account, the nonsynchronicity becomes irrelevant for future returns.

Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/1331677X.2019.1710229 (text/html)
Access to full text is restricted to subscribers.

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:taf:reroxx:v:33:y:2020:i:1:p:160-181

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rero20

DOI: 10.1080/1331677X.2019.1710229

Access Statistics for this article

Economic Research-Ekonomska Istraživanja is currently edited by Marinko Skare

More articles in Economic Research-Ekonomska Istraživanja from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().