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Extreme Returns and the Idiosyncratic Volatility Puzzle

其他書名	African Evidence
出版	SSRN, 2018
URL	http://books.google.com.hk/books?id=1_f7zgEACAAJ&hl=&source=gbs_api

註釋Motivated by Bali et al. (2011) and Ang et al. (2006 & 2009), we examine the cross-sectional relationship between the expected stock return and both the maximum daily return (MAX) and the idiosyncratic volatility (IVOL) in the five largest emerging African stock markets over the period from 2001 to 2015. First, we find that there is a robust and significantly negative MAX effect in the pooled African stock markets. Second, though we initially document a negative IVOL effect, it disappears after controlling for MAX. Finally, the negative MAX effect is only significant in the small-SIZE, high-illiquidity, and high-skewness portfolios. Our results suggest risk-seeking behavior among African investors similar to that in other parts of the world.