Sentences with phrase «high idiosyncratic volatility»
Investors chasing hot stocks, or uncertain earnings, create high idiosyncratic volatility that reverses to correct for over-pricing, or when uncertainty gets resolved.
http://www.retailinvestor.org/ Not exact matches
In contrast, larger - capitalization stocks with substantial tangible assets, high liquidity and low idiosyncratic volatility are less susceptible to sentiment - related mispricing.
They seem to agree with Greenblatt when they find that the higher alpha of the equal - weighted portfolio arises from the monthly rebalancing required to maintain equal weights, which is a «contrarian strategy that exploits reversal and idiosyncratic volatility of the stock returns; thus, alpha depends only on the monthly rebalancing and not on the choice of initial weights.»