主题Topic：Return Reversals, Idiosyncratic Risk, andExpected Returns
时间Time：6月8号（周三）｜ June 8th (Wednesday), 7:30–9:00 pm
地点Venue：文泉楼南106｜Room106, WENQUAN
主讲人Speaker：
刘千秋老师，美国夏威夷大学 Shidler 商学院金融学教授。2003年获美国西北大学凯洛格商学院金融学博士。多篇文章发表于：Journal of Bankingand Finance (SSCI), Management Science (SSCI), Journal of International Money and Finance (SSCI), Journal of Applied Econometrics (SSCI) 等国际权威学术期刊上。
研究领域: 实证资产定价、金融计量经济学、市场微观结构、国际金融和个人财务规划
ResearchArea: Empirical Asset Pricing, Financial Econometrics, MarketMicrostructure, International Finance, and Personal Financial Planning
Abstract:
The empirical evidence on the cross-sectional relation betweenidiosyncratic risk and expected stock returns is mixed. We demonstrate that theomission of the previous month’s stock returns can lead to a negatively biasedestimate of the relation. The magnitude of the omitted variable bias depends onthe approach to estimating the conditional idiosyncratic volatility. Although anegative relation exists when the estimate is based on daily returns, itdisappears after return reversals are controlled for. Return reversals canexplain both the negative relation between value-weighted portfolio returns andidiosyncratic volatility and the insignificant relation between equal-weightedportfolio returns and idiosyncratic volatility. In contrast, there is a significantlypositive relation between the conditional idiosyncratic volatility estimatedfrom monthly data and expected returns. This relation remains robust aftercontrolling for return reversals.
