Financial distress and idiosyncratic volatility: An empirical investigation

被引：22

作者：

Chen, Jing

Chollete, Loran ^{[1
,2
]}

Ray, Rina ^{[1
]}

机构：

[1] Norwegian Sch Econ & Business Adm, Dept Finance, N-5045 Bergen, Norway

[2] Norwegian Cent Bank, Trondheim, Norway

来源：

JOURNAL OF FINANCIAL MARKETS | 2010年 / 13卷 / 02期

关键词：

Distress risk; Idiosyncratic volatility; Single-beta CAPM; RISK; PREDICTION; EQUITY; RATIOS;

D O I：

10.1016/j.finmar.2009.10.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We 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. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：249 / 267

页数：19

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