Idiosyncratic Volatility Anomaly
Does the government have too much or too little power over business? Discuss
March 21, 2020Ping Sweeps
March 21, 2020Idiosyncratic Volatility Anomaly
Topic: Idiosyncratic Volatility Anomaly
The Idiosyncratic Volatility Anomaly is documented in the following journal article:
Ang, Hodrick, Xing and Zhang (2006) “The Cross-Section of Volatility and Expected Returns”, Journal of Finance, Vol. LXI,
No.1, pp.259-299
The essay will need provide a review of the anomaly and address the following points:
– Discuss what the anomaly is
– How pervasive and widespread is the anomaly across both time and the equity markets of different countries?
– Is there any academic evidence that rejects or contradicts the anomaly?
– What are the implication of this anomaly for Models of asset pricing and The theoretical foundations of modern finance?
– Based on the evidence in the literature, provide a conclusion as to whether you believe this anomaly is truly anomalous
You are expected to reference a number of academic research articles that discuss the anomaly. The four key journals in
finance are Journal of Finance, Journal of Financial Economics, Review of Financial Studies and Journal of Financial and
Quantitative Analysis.
