Cross sectional moments and portfolio returns: Evidence for select emerging markets

IIMB Management Review

Sanjay Sehgal¹  Vidisha Garg² 

[1] Department of Financial Studies, University of Delhi, India;Maitreyi College, University of Delhi, India;

关键词: Idiosyncratic volatility;    Cross sectional variance;    Higher order moments;    Fama French model;    Trading strategies;   

DOI  :  10.1016/j.iimb.2016.07.001

来源: DOAJ

【 摘 要 】

Research does not indicate a consensus on the relationship between idiosyncratic volatility and asset returns. Moreover, the role of cross sectional higher order moments in predicting market returns is relatively unexplored. We show that the cross sectional volatility measure suggested by Garcia et al. is highly correlated with alternative measures of idiosyncratic volatility constructed as variance of errors from the capital asset pricing model and the Fama French model. We find that cross sectional moments help in predicting aggregate market returns in some sample countries and also provide information for portfolio formation, which is more consistent for portfolios sorted on sensitivity to cross sectional skewness.

【 授权许可】

Unknown