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The negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility. The German stock market 1990-2016 - Softcover
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Master's Thesis from the year 2018 in the subject Business economics - Review of Business Studies, grade: 1.0, University of Hannover (Institute of Financial Markets), language: English, abstract: The main goal of this thesis is to examine whether the negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility also can be found for the German stock market for the period of January 1990 through June 2016, by sorting stocks into portfolios on the basis of their idiosyncratic volatility estimates. This procedure follows Ang et al. (2006). Similar to the findings of Ang et al. (2006) for the US stock market this paper shows that there is a significant difference in returns relative to the Fama-French three-factor model, between portfolios of stocks with high and portfolios of stocks with low past idiosyncratic volatility. Although for the period 1990 - 2016 no relationship between lagged idiosyncratic volatility and the cross-section of stock returns has been found, the Idiosyncratic Volatility Puzzle reveals itself for the sub-period 2003 - 2016, when the respective portfolios of stocks with different levels of idiosyncratic volatility are controlled for size.
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- VerlagGRIN Verlag
- Erscheinungsdatum2020
- ISBN 10 3346153223
- ISBN 13 9783346153227
- EinbandTapa blanda
- SpracheEnglisch
- Auflage1
- Anzahl der Seiten40
- Kontakt zum HerstellerNicht verfügbar
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The negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility. The German stock market 1990-2016
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Taschenbuch. Zustand: Neu. The negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility. The German stock market 1990-2016 | Lasse Homann | Taschenbuch | 40 S. | Englisch | 2020 | GRIN Verlag | EAN 9783346153227 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. Bestandsnummer des Verkäufers 118297319
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The negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility. The German stock market 1990-2016
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Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - Master's Thesis from the year 2018 in the subject Business economics - Review of Business Studies, grade: 1.0, University of Hannover (Institute of Financial Markets), language: English, abstract: The main goal of this thesis is to examine whether the negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility also can be found for the German stock market for the period of January 1990 through June 2016, by sorting stocks into portfolios on the basis of their idiosyncratic volatility estimates. This procedure follows Ang et al. (2006).Similar to the findings of Ang et al. (2006) for the US stock market this paper shows that there is a significant difference in returns relative to the Fama-French three-factor model, between portfolios of stocks with high and portfolios of stocks with low past idiosyncratic volatility.Although for the period 1990 - 2016 no relationship between lagged idiosyncratic volatility and the cross-section of stock returns has been found, the Idiosyncratic Volatility Puzzle reveals itself for the sub-period 2003 - 2016, when the respective portfolios of stocks with different levels of idiosyncratic volatility are controlled for size. Bestandsnummer des Verkäufers 9783346153227
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The negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility. The German stock market 1990-2016
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GRIN Verlag, GRIN Verlag Apr 2020, 2020
ISBN 10: 3346153223
ISBN 13: 9783346153227
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Taschenbuch. Zustand: Neu. Neuware -Master's Thesis from the year 2018 in the subject Business economics - Review of Business Studies, grade: 1.0, University of Hannover (Institute of Financial Markets), language: English, abstract: The main goal of this thesis is to examine whether the negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility also can be found for the German stock market for the period of January 1990 through June 2016, by sorting stocks into portfolios on the basis of their idiosyncratic volatility estimates. This procedure follows Ang et al. (2006). Similar to the findings of Ang et al. (2006) for the US stock market this paper shows that there is a significant difference in returns relative to the Fama-French three-factor model, between portfolios of stocks with high and portfolios of stocks with low past idiosyncratic volatility. Although for the period 1990 - 2016 no relationship between lagged idiosyncratic volatility and the cross-section of stock returns has been found, the Idiosyncratic Volatility Puzzle reveals itself for the sub-period 2003 - 2016, when the respective portfolios of stocks with different levels of idiosyncratic volatility are controlled for size.Books on Demand GmbH, Überseering 33, 22297 Hamburg 40 pp. Englisch. Bestandsnummer des Verkäufers 9783346153227
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The negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility. The German stock market 1990-2016
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Taschenbuch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Master's Thesis from the year 2018 in the subject Business economics - Review of Business Studies, grade: 1.0, University of Hannover (Institute of Financial Markets), language: English, abstract: The main goal of this thesis is to examine whether the negative relationship between the cross-section of expected returns and lagged idiosyncratic volatility also can be found for the German stock market for the period of January 1990 through June 2016, by sorting stocks into portfolios on the basis of their idiosyncratic volatility estimates. This procedure follows Ang et al. (2006).Similar to the findings of Ang et al. (2006) for the US stock market this paper shows that there is a significant difference in returns relative to the Fama-French three-factor model, between portfolios of stocks with high and portfolios of stocks with low past idiosyncratic volatility.Although for the period 1990 - 2016 no relationship between lagged idiosyncratic volatility and the cross-section of stock returns has been found, the Idiosyncratic Volatility Puzzle reveals itself for the sub-period 2003 - 2016, when the respective portfolios of stocks with different levels of idiosyncratic volatility are controlled for size. 40 pp. Englisch. Bestandsnummer des Verkäufers 9783346153227
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