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The IVOL Puzzle

In: The Lottery Mindset: Investors, Gambling and the Stock Market

Author

Listed:
  • Wai Mun Fong

    (National University of Singapore)

Abstract

Stocks with high-idiosyncratic volatility (IVOL) have lower average returns than low-IVOL stocks. The IVOL effect has been documented in many stock markets and is closely related to the beta anomaly discussed in the previous chapter. This chapter presents updated evidence on the IVOL effect, with a focus on the US stock market. The characteristics and investor profile of high-IVOL stocks are analyzed. New evidence on the relationship between the IVOL effect and other lottery stock anomalies are presented. The long-term implications of investing in high-IVOL stocks are discussed.

Suggested Citation

  • Wai Mun Fong, 2014. "The IVOL Puzzle," Palgrave Macmillan Books, in: The Lottery Mindset: Investors, Gambling and the Stock Market, chapter 6, pages 122-137, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-38173-6_6
    DOI: 10.1057/9781137381736_6
    as

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