Idiosyncratic Volatility Anomaly

 

Topic: Idiosyncratic Volatility Anomaly

The Idiosyncratic Volatility Anomaly is documented in the following journal article:

Ang, Hodrick, Xing and Zhang (2006) “The Cross-Section of Volatility and Expected Returns”, Journal of Finance, Vol. LXI,

No.1, pp.259-299

 

The essay will need provide a review of the anomaly and address the following points:

– Discuss what the anomaly is

– How pervasive and widespread is the anomaly across both time and the equity markets of different countries?

– Is there any academic evidence that rejects or contradicts the anomaly?

– What are the implication of this anomaly for Models of asset pricing and The theoretical foundations of modern finance?

– Based on the evidence in the literature, provide a conclusion as to whether you believe this anomaly is truly anomalous

 

You are expected to reference a number of academic research articles that discuss the anomaly. The four key journals in

finance are Journal of Finance, Journal of Financial Economics, Review of Financial Studies and Journal of Financial and

Quantitative Analysis.

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