Analysis of Idiosyncratic Volatility Effect on Expected Return on Stock that Listed in Indonesia Stock Exchange in 2006-2010
“By using data from listed company in ISE period 2006-2010, the result shows that the contemporaneous effect of realized idiosyncratic volatility on return is significantly positive.”
AssetEquities
StrategyLow-volatility anomaly
TechniqueClassical time serieslinear factor model
GeographyEuropeEmerging markets
Also stated: 2006–2010
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodLow-volatility anomaly by year
FamilyLow-volatility anomaly25Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 977
AssetEquities21
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