文章基本信息

标题：Abnormal returns and idiosyncratic volatility puzzle: An empirical investigation in Vietnam stock market
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作者：Xuan Vinh Vo ; Van Phong Vo ; Thanh Phuc Nguyen 等
期刊名称：Cogent Economics & Finance
电子版ISSN：2332-2039
出版年度：2020
卷号：8
期号：1
页码：1-25
DOI：10.1080/23322039.2020.1735196
出版社：Taylor and Francis Ltd
摘要：This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and conditional alpha sub-samples in Vietnam stock market covering the period from January 2008 to December 2018. We test the IVOL effect on stock returns employing Fama-Macbeth regression method (firm-level analysis) and sorting portfolio method (portfolio-level analysis). In addition, we use different approaches to estimate IVOLs which are the standard deviation of the residuals estimated from regression based on capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four-factor model. We find the IVOL effect which is considered as IVOL puzzle in positive alpha sub-samples. However, we do not discover any significant relation in full-sample and negative alpha sub-samples. Besides, these findings are not consistent with prospect theory. This paper also suggests IVOL opposite strategy for investors to generate significant returns by collecting stocks in positive alpha sub-samples.
关键词：abnormal returns; asset pricing; idiosyncratic volatility