한국 주식시장에서 주식수익률의 고유변동성과 기대수익률 간의 관계

Abstract

This study investigates the relationship between idiosyncratic volatility and expected returns in Korean stock market. We estimate idiosyncratic volatility from Fama and French 3 factor model and Chen, Novy-Marx, and Zhang(2010) alternative 3 factor model. Then we analyzed the relationship between stock returns and idiosyncratic volatility to compare two factor models.

Our results are follows :

First, equal-weighted stock returns are negatively related to idiosyncratic volatility. Second, after controlling firm’s characteristic variables, such as firm size, Book-to- Market ratio(B/M), negative idiosyncratic volatility effect exist in the stock returns. Third, we follow Jegadeesh and Titman(1993)’s momentum strategy, we conduct various trading strategies, the results has consistency.