拉斯维加斯9888

标题：Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

汇报人：Jianfeng Yu,（The Carlson School of Management, University of Minnesota）

功夫：July 8, 2013 (Monday）AM10:00---11:30

地址:Room 217, Guanghua Building #2

Abstract：

Short selling, as compared to purchasing, faces greater risks and other potential

impediments. This arbitrage asymmetry explains the negative relation between idiosyncratic volatility (IVOL) and average return. The IVOL effect is negative among

overpriced stocks but positive among underpriced stocks, with mispricing determined

by combining 11 return anomalies. The negative effect is stronger, consistent with

asymmetry in risks and other impediments inhibiting arbitrageurs in exploiting mispricing.

Aggregating across all stocks therefore yields a negative relation, explaining

the IVOL puzzle. Further supporting our explanation is a negative relation over time

between the IVOL effect and investor sentiment, especially among overpriced stocks.