文章基本信息

标题：Relationship between cross sectional volatility and stock returns:evidence from India
本地全文：下载
作者：Sanjay Sehgal ; Vidisha Garg ; Florent Deisting 等
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2012
卷号：9
期号：2
页码：91-100
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This paper examines the relationship between cross sectional volatility(CSV)and stock returns for India.The authors use daily returns for 493 companies that form part of BSE-500 index from December 1993 to June 2010.Two measures of CSV are adopted-systematic and idiosyncratic.Systematic volatility(SV)is estimated using French,Schwert and Stambaugh(1987)and Schwert and Seguin(1990).While unsystematic volatility(UV)is estimated by computing residual variance for sample stocks using the errors of CAPM model.The authors find that high SV portfolios outper?form low SV portfolios which implies dominance of speculative behavior in stock markets.The CAPM and Fama?French model are unable to fully absorb the returns on high SV portfolio which are explained by introduction of an additional CSV factor constructed on lines of Ang,Hodrick,Xing and Zhang(2003).The CSV factor possibly contains information about volatility persistence which is priced by the market.The high UV portfolios perform much better than low UV portfolios which may be consistent with finance theory that suggests compensation for imperfect diversi?fication.The FF model is able to explain the returns on UV sorted portfolios owing to the fact that high UV portfolios comprize small size and low P/B stocks.The findings are important for market players and the present study contri?butes to the asset pricing anomaly literature especially for emerging markets.
关键词：systematic volatility;unsystematic volatility;CAPM;Fama-French model;company size