Price nonsynchronicity, idiosyncratic risk, and expected stock returns in China

Ekonomska Istraživanja

Adam Zaremba¹  Huaigang Long²  Yuexiang Jiang² 

[1] Dubai Business School, University of Dubai;School of Economics, Zhejiang University;

关键词: nonsynchronicity;    synchronicity;    idiosyncratic risk;    idiosyncratic volatility;    return predictability;    low-risk anomaly;   

DOI  :  10.1080/1331677X.2019.1710229

来源: DOAJ

【 摘 要 】

We are the first to examine the pricing of relative idiosyncratic risk, or price nonsynchronicity, in the Chinese equity market. Using several tests, we investigate returns on more than 2700 companies in the period 1998 to 2018. Contrary to the U.S. evidence, price nonsynchronicity negatively predicts future returns in the cross-section. A value-weighted strategy going long (short) the quintile of least (most) synchronised stocks produces a negative monthly six-factor model alpha of −0.61%. Also, we demonstrate that the effect is driven by the low-idiosyncratic volatility anomaly. Once the absolute idiosyncratic risk is taken into account, the nonsynchronicity becomes irrelevant for future returns.

【 授权许可】

Unknown