TY  - JOUR
AU  - Ang,Andrew
AU  - Hodrick,Robert J.
AU  - Xing,Yuhang
AU  - Zhang,Xiaoyan
TI  - The Cross-Section of Volatility and Expected Returns
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10852
PY  - 2004
Y2  - October 2004
UR  - http://www.nber.org/papers/w10852
L1  - http://www.nber.org/papers/w10852.pdf
N1  - Author contact info:
Andrew Ang
Columbia Business School
3022 Broadway 413 Uris
New York, NY 10027
Tel: 212/854-9154
Fax: 212/662-8474
E-Mail: aa610@columbia.edu

Robert J. Hodrick
Graduate School of Business
Columbia University
3022 Broadway
New York, NY 10027
Tel: 212/854-3413
Fax: 212/316-9219
E-Mail: rh169@columbia.edu

Yuhang Xing
Columbia University
Jones School of Management, MS 531
Rice  University
6100 Main Street
Houston, TX 77004
Tel: 7133484167
E-Mail: yxing@rice.edu

Xiaoyan Zhang
Johnson Graduate School of Management
366 Sage Hall
Cornell University
Ithaca, NY 14853
Tel: 607/255-8729
E-Mail: xz69@cornell.edu
AB  - We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average returns. This phenomenon cannot be explained by exposure to aggregate volatility risk. Size, book-to-market, momentum, and liquidity effects cannot account for either the low average returns earned by stocks with high exposure to systematic volatility risk or for the low average returns of stocks with high idiosyncratic volatility.
ER  -