Abstract

This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999–2014. Univariate and bivariate sorting, as well as cross-section regressions, suggest a positive relation between idiosyncratic volatility and future stock returns. However, this relation is sensitive to the choices of portfolio weighting schemes, types of stocks (small, medium, and large), model specifications, and sample periods. Additionally, this study also contests the assumption that the relation between stock returns and predictor variables (including IV) remains same across different points of the conditional distribution and argues that an insignificant relation at the mean level may be significant at the extreme quantiles of the conditional distribution.

Details

Title
Idiosyncratic volatility and stock returns: Indian evidence
Author
Aziz, Tariq 1   VIAFID ORCID Logo  ; Valeed Ahmad Ansari 1 

1  Faculty of Management Studies & Research, Department of Business Administration, Aligarh Muslim University, Aligarh 202002, India 
Publication year
2017
Publication date
Dec 2017
Publisher
Taylor & Francis Ltd.
e-ISSN
23322039
Source type
Scholarly Journal
Language of publication
English
DOI
https://doi.org/10.1080/23322039.2017.1420998
ProQuest document ID
2008014499
Copyright
© 2018 The Author(s). This open access article is distributed under a Creative Commons Attribution (CC-BY) 4.0 license. This work is licensed under the Creative Commons Attribution License http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.