Financial distress and idiosyncratic volatility: An empirical investigation
AbstractWe investigate the link between distress and idiosyncratic volatility. Specifically, we examine the twin puzzles of anomalously low returns for high idiosyncratic volatility stocks and high distress risk stocks, documented by Ang et al. (2006) and Campbell et al. (2008), respectively. We document that these puzzles are empirically connected, and can be explained by a simple, theoretical, single-beta CAPM model.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Markets.
Volume (Year): 13 (2010)
Issue (Month): 2 (May)
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Web page: http://www.elsevier.com/locate/finmar
Distress risk Idiosyncratic volatility Single-beta CAPM;
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