Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/34616
Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle
Author(s): McMillan, David
Kambouroudis, Dimos
Khasawneh, Maher
Contact Email: david.mcmillan@stir.ac.uk
Keywords: Stock Returns
Idiosyncratic Volatility
Expected Profitability
52-Week High
Date Deposited: 25-Oct-2022
Citation: McMillan D, Kambouroudis D & Khasawneh M (2022) Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle. European Journal of Finance.
Abstract: We investigate the joint ability of fundamental-based and market-based news to explain the anomalous underperformance of stocks with high idiosyncratic volatility (high IVOL). An out-of-sample prediction of future profitability is adopted as a proxy for fundamental–based news while market-based news is represented by the 52-week high price ratio. A sample of UK stocks over the period January 1996 to December 2017 is analysed. The empirical results indicate that both the fundamental-based projected profitability and the 52-week high price ratio are important in explaining the IVOL anomaly. In contrast, individually, neither variable fully accounts for the anomaly. This relation is more pronounced following a period of high sentiment and during an upmarket. Further results suggest that underreaction lies at the heart of this explanation.
Rights: This item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study. This is an Accepted Manuscript version of the following article, accepted for publication in European Journal of Finance. . It is deposited under the terms of the Creative Commons Attribution-NonCommercial License (http://creativecommons.org/licenses/by-nc/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium, provided the original work is properly cited.
Notes: Output Status: Forthcoming
Licence URL(s): http://creativecommons.org/licenses/by-nc-nd/4.0/

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