Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
961720 | Journal of Financial Markets | 2010 | 19 Pages |
Abstract
We investigate the link between distress and idiosyncratic volatility. Specifically, we examine the twin puzzles of anomalously low returns for high idiosyncratic volatility stocks and high distress risk stocks, documented by Ang et al. (2006) and Campbell et al. (2008), respectively. We document that these puzzles are empirically connected, and can be explained by a simple, theoretical, single-beta CAPM model.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jing Chen, LorĂ¡n Chollete, Rina Ray,