TY  - JOUR
AU  - Ang,Andrew
AU  - Hodrick,Robert J.
AU  - Xing,Yuhang
AU  - Zhang,Xiaoyan
TI  - High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 13739
PY  - 2008
Y2  - January 2008
UR  - http://www.nber.org/papers/w13739
L1  - http://www.nber.org/papers/w13739.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
Rice 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  - Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility is -1.31% per month, after controlling for world market, size, and value factors. The effect is individually significant in each G7 country. In the U.S., we rule out explanations based on trading frictions, information dissemination, and higher moments. There is strong comovement in the low returns to high idiosyncratic volatility stocks across countries, suggesting that broad, not easily diversifiable, factors may lie behind this phenomenon.
ER  -