High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
NBER Working Paper No. 13739
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We thank Tobias Adrian, Kewei Hou, Soeren Hvidjkaer, and Joshua Rosenberg for kindly providing data. We thank Tim Johnson and seminar participants at the CRSP Forum at the University of Chicago, the American Finance Association, Columbia University, NYU, SAC Capital, and the University of Toronto for helpful comments. The paper has benefited from the excellent comments of an anonymous referee. Andrew Ang acknowledges support from the NSF. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.