Sentences with phrase «idiosyncratic volatility of»

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.»

Not exact matches

«Our expectation is for pockets of volatility on an idiosyncratic basis around these events, rather than a wholesale sea change of volatility,» said Ben Robins, portfolio specialist at T. Rowe Price.

After removing the effects of time - varying volatility, idiosyncratic volatility innovations are still positively correlated.

In their May 2006 paper entitled «The Relation between Time - Series and Cross-Sectional Effects of Idiosyncratic Variance on Stock Returns in G7 Countries», Hui Guo and Robert Savickas investigate why the realized idiosyncratic volatility (beta) of individual stocks correlates negatively with future returns — why there is a penalty instead of a reward for this aIdiosyncratic Variance on Stock Returns in G7 Countries», Hui Guo and Robert Savickas investigate why the realized idiosyncratic volatility (beta) of individual stocks correlates negatively with future returns — why there is a penalty instead of a reward for this aidiosyncratic volatility (beta) of individual stocks correlates negatively with future returns — why there is a penalty instead of a reward for this apparent risk.

They identify idiosyncratic volatility shocks as large deviations from the volatility predicted out - of - sample by a regression model that accounts for market, size and book - to - market effects.

Instead of the «goldilocks» scenario of low volatility and rising global growth, markets are likely to get a lot more choppy and individual stock performance could become more idiosyncratic.

MiFID II is expected to result in less sell - side research coverage of companies, which potentially increases pricing inefficiencies and idiosyncratic volatility, as information may not spread through the markets.

They examine three measures of return comovement for each asset class: average pairwise correlation, average beta relative to the world market and average idiosyncratic volatility.

She defines idiosyncratic volatility as the standard deviation of daily residuals from monthly regressions of returns (in excess of the risk - free rate) for each stock versus Fama - French model factors.

For me, the most important part of the study is the finding that «The nonparametric monotonicity relation test indicates that the differences in the total return of the equal - weighted portfolio and the value - and price - weighted portfolios is monotonically related to size, price, liquidity and idiosyncratic volatility.»