{"title":"α和特殊波动率","authors":"Percy Poon , Tong Yao , Andrew (Jianzhong) Zhang","doi":"10.1016/j.finmar.2022.100720","DOIUrl":null,"url":null,"abstract":"<div><p>We find that the relation between the idiosyncratic volatility (IVOL) anomaly and the beta anomaly is quite different at long horizons than at short horizons. At short horizons, neither anomaly can fully explain the other. At long horizons, the IVOL-alpha relation is explained by the beta-alpha relation. A long-window estimate of idiosyncratic volatility measure popularly used by the investment industry behaves more like beta than IVOL in predicting returns and alphas. Our findings suggest that the short-horizon and long-horizon low-risk effects are different and warrant different explanations.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.1000,"publicationDate":"2022-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The alphas of beta and idiosyncratic volatility\",\"authors\":\"Percy Poon , Tong Yao , Andrew (Jianzhong) Zhang\",\"doi\":\"10.1016/j.finmar.2022.100720\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We find that the relation between the idiosyncratic volatility (IVOL) anomaly and the beta anomaly is quite different at long horizons than at short horizons. At short horizons, neither anomaly can fully explain the other. At long horizons, the IVOL-alpha relation is explained by the beta-alpha relation. A long-window estimate of idiosyncratic volatility measure popularly used by the investment industry behaves more like beta than IVOL in predicting returns and alphas. Our findings suggest that the short-horizon and long-horizon low-risk effects are different and warrant different explanations.</p></div>\",\"PeriodicalId\":47899,\"journal\":{\"name\":\"Journal of Financial Markets\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.1000,\"publicationDate\":\"2022-11-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Markets\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1386418122000131\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1386418122000131","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
We find that the relation between the idiosyncratic volatility (IVOL) anomaly and the beta anomaly is quite different at long horizons than at short horizons. At short horizons, neither anomaly can fully explain the other. At long horizons, the IVOL-alpha relation is explained by the beta-alpha relation. A long-window estimate of idiosyncratic volatility measure popularly used by the investment industry behaves more like beta than IVOL in predicting returns and alphas. Our findings suggest that the short-horizon and long-horizon low-risk effects are different and warrant different explanations.
期刊介绍：
The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.
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