The IVOL Puzzle

Wai Mun Fong
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Wai Mun Fong: National University of Singapore

Chapter 6 in The Lottery Mindset: Investors, Gambling and the Stock Market, 2014, pp 122-137 from Palgrave Macmillan

Abstract: Abstract Stocks with high-idiosyncratic volatility (IVOL) have lower average returns than low-IVOL stocks. The IVOL effect has been documented in many stock markets and is closely related to the beta anomaly discussed in the previous chapter. This chapter presents updated evidence on the IVOL effect, with a focus on the US stock market. The characteristics and investor profile of high-IVOL stocks are analyzed. New evidence on the relationship between the IVOL effect and other lottery stock anomalies are presented. The long-term implications of investing in high-IVOL stocks are discussed.

Keywords: idiosyncratic skewness; idiosyncratic volatility (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-38173-6_6

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DOI: 10.1057/9781137381736_6

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