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Predictive Ability of Low-Frequency Volatility Measures

其他書名	Evidence from the Hong Kong Stock Markets
出版	SSRN, 2017
URL	http://books.google.com.hk/books?id=31n-zgEACAAJ&hl=&source=gbs_api

註釋We employ low-frequency data to estimate historical volatility measures for Hong Kong stocks and examine the relationship between these measures and the one-month ahead stock return over thirty-five years. First, we employ a stock's past three-year weekly return to compute idiosyncratic volatility. Second, we use a stock's past three-year maximum weekly return to create a MAX measure. We find that both IVOL and MAX are significant and negatively related to the one-month ahead stock return. Both effects co-exist in the Hong Kong stock markets and are robust after controlling for the financial crisis, January effect, and tiny stocks.