Financial Distress and Idiosyncratic Volatility: An Empirical Investigation
Posted: 21 Dec 2009 Last revised: 24 Mar 2010
There are 2 versions of this paper
Financial Distress and Idiosyncratic Volatility: An Empirical Investigation
NHH Finance & Management Science Discussion Paper No. 8/2006
Number of pages: 28
Posted: 07 Mar 2007
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Date Written: December 16, 2009
Abstract
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.
Keywords: Distress risk, idiosyncratic volatility, single-beta CAPM
JEL Classification: G11, G12
Suggested Citation: Suggested Citation
Chen, Jing and Chollete, Loran and Ray, Rina, Financial Distress and Idiosyncratic Volatility: An Empirical Investigation (December 16, 2009). Available at SSRN: https://ssrn.com/abstract=1524454
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