Lottery preferences and the idiosyncratic volatility puzzle

被引：12

作者：

Chichernea, Doina C. ^{[1
]}

Kassa, Haimanot ^{[2
,3
]}

Slezak, Steve L. ^{[4
]}

机构：

[1] Univ Denver, Daniels Coll Business, Reiman Sch Finance, Denver, CO 80204 USA

[2] Miami Univ, Dept Finance, Farmer Sch Business, Oxford, OH 45056 USA

[3] US Secur & Exchange Commiss, Washington, DC USA

[4] Univ Cincinnati, Lindner Coll Business, Dept Finance & Real Estate, Cincinnati, OH USA

来源：

EUROPEAN FINANCIAL MANAGEMENT | 2019年 / 25卷 / 03期

关键词：

economic conditions; idiosyncratic volatility; lottery preferences; skewness; CROSS-SECTION; INSTITUTIONAL INVESTORS; CONDITIONAL SKEWNESS; RISK; RETURNS; STOCKS; OWNERSHIP; EQUILIBRIUM; ASYMMETRY; OPTIONS;

D O I：

10.1111/eufm.12178

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the empirical implications of investors' heterogeneous preferences for skewness with respect to the idiosyncratic volatility (IVOL) puzzle, that is, the negative correlation between IVOL and mean returns. We show that the IVOL puzzle is stronger: (1) within stocks held primarily by agents with a preference for lottery-like payoffs; and (2) during economic downturns, when the demand for lottery-like payoffs is high. These results support recent theories that suggest lottery preferences could be a significant source of the IVOL puzzle.

引用

页码：655 / 683

页数：29

共 60 条

[1] Does realized skewness predict the cross-section of equity returns? [J].

Amaya, Diego ;

Christoffersen, Peter ;

Jacobs, Kris ;

Vasquez, Aurelio .

JOURNAL OF FINANCIAL ECONOMICS, 2015, 118 (01) :135-167

[2] Illiquidity and stock returns: cross-section and time-series effects [J].

Amihud, Y .

JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) :31-56

[3] The cross-section of volatility and expected returns [J].

Ang, A ;

Hodrick, RJ ;

Xing, YH ;

Zhang, XY .

JOURNAL OF FINANCE, 2006, 61 (01) :259-299

[4] High idiosyncratic volatility and low returns: International and further US evidence [J].

Ang, Andrew ;

Hodrick, Robert J. ;

Xing, Yuhang ;

Zhang, Xiaoyan .

JOURNAL OF FINANCIAL ECONOMICS, 2009, 91 (01) :1-23

[5] Are extreme returns priced in the stock market? European evidence [J].

Annaert, Jan ;

De Ceuster, Marc ;

Verstegen, Kurt .

JOURNAL OF BANKING & FINANCE, 2013, 37 (09) :3401-3411

[6]

Arbel Avner., 1983, FINANC ANAL J, V39, P57

[7]

Bali T.G., 2016, Empirical asset pricing: The cross section of stock returns

[8] Does idiosyncratic risk really matter? [J].

Bali, TG ;

Cakici, N ;

Yan, XM ;

Zhang, Z .

JOURNAL OF FINANCE, 2005, 60 (02) :905-929

[9] Idiosyncratic volatility and the cross section of expected returns [J].

Bali, Turan G. ;

Cakici, Nusret .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2008, 43 (01) :29-58

[10] A Lottery-Demand-Based Explanation of the Beta Anomaly [J].

Bali, Turan G. ;

Brown, Stephen J. ;

Murray, Scott ;

Tang, Yi .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2017, 52 (06) :2369-2397

← 1 2 3 4 5 6 →