Zaremba, Adam
[Verfasser:in]
;
Czapkiewicz, Anna
[Sonstige Person, Familie und Körperschaft];
Bedowska-Sojka, Barbara
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
In: Finance Research Letters, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 4, 2017 erstellt
Beschreibung:
Recent empirical evidence has shown that the relationship between idiosyncratic volatility and a stock's expected return depends on the pricing of the stock: it is negative among overvalued stocks and positive among undervalued ones. We provide both theoretical and numerical evidence that this risk-return relationship might be driven purely by mathematical properties of return distributions. Using a simulation-based approach, we document that even in completely random samples, the correlation between idiosyncratic risk and mean returns depends on the ex-post estimation of abnormal returns