Unusual news flow and the cross section of stock returns
We document that stocks that experience sudden increases in idiosyncratic volatility underperform otherwise similar stocks in the future, and we propose that this phenomenon can be explained by the Miller conjecture [Miller E (1977) Risk, uncertainty, and divergence of opinion. J. Finance 32(4):1151...
Main Authors: | Bali, T.G (Author), Bodnaruk, A. (Author), Scherbina, A. (Author), Tang, Y. (Author) |
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Format: | Article |
Language: | English |
Published: |
INFORMS Inst.for Operations Res.and the Management Sciences
2018
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Subjects: | |
Online Access: | View Fulltext in Publisher |
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