High idiosyncratic volatility and low returns: International and further U.S. evidence

Journal of Financial Economics

Volumn 91, Issue 1, 2009, Pages 1-23

  Ang, Andrew ^a   Hodrick, Robert J ^a   Xing, Yuhang ^b   Zhang, Xiaoyan ^c  

^a NBER ^*  (United States)

^b RICE UNIVERSITY   (United States)

^c Dyson School of Applied Economics and Management   (United States)

Author keywords

Cross section of stock returns; Factor model; Predictability

Indexed keywords

EID: 58049206656     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2007.12.005     Document Type: Article

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