BIMSA >
BIMSA Digital Economy Lab Seminar
Good idiosyncratic volatility, bad idiosyncratic volatility, and the cross-section of stock returns
Good idiosyncratic volatility, bad idiosyncratic volatility, and the cross-section of stock returns
演讲者
时间
2025年05月09日 15:00 至 16:00
地点
A3-2a-302
线上
Zoom 637 734 0280
(BIMSA)
摘要
This paper decomposes a stock’s idiosyncratic volatility into good and bad components, corresponding to volatility on days with positive and negative returns, respectively. The authors introduce a firm-level measure called expected idiosyncratic good-minus-bad volatility (EIGMB), estimated using firm characteristics. EIGMB more effectively captures asymmetry in idiosyncratic return volatility than traditional measures such as expected idiosyncratic skewness (EISKEW) or standard time-series models. It is also shown to be a strong negative predictor of future stock returns, even after controlling for skewness-related factors. Further analysis indicates that return on equity and momentum are key sources of variation in EIGMB’s predictive power.
演讲者介绍
Shujie Wang is a PHD student at BIMSA and UCAS. Her research interests including digital economy, empirical asset pricing, and data asset pricing.