出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：Based on the fact that different investor clienteles are attracted to different share price levels and they have distinct trading behavior.This paper examines the relation between idiosyncratic volatility and future stock returns by focusing on different share price portfolios.The author shows that the future stock return is positively related to idiosyncratic volatility for high-priced stocks and negatively related for the low-priced stocks by showing that investors may react differently to idiosyncratic volatility depending on its source.Idiosyncratic volatility may be associated with momentum and skewness of stock returns for institutionally owned high-priced stocks and retail owned low-priced stocks,respectively.
