Corporate hedging and the high idiosyncratic volatility low return puzzle Chng, Michael T., Fang, Victor, Xiang, Vincent and Zhang, Hong Feng 2017, Corporate hedging and the high idiosyncratic volatility low return puzzle, International review of finance, pp. 1-31, doi: 10.1111/irfi.12109. Attached Files Name Description MIMEType Size Downloads Title Corporate hedging and the high idiosyncratic volatility low return puzzle Author(s) Chng, Michael T. Fang, Victor Xiang, Vincent Zhang, Hong Feng orcid.org/0000-0001-9017-9646 Journal name International review of finance Start page 1 End page 31 Total pages 31 Publisher Wiley-Blackwell Place of publication London, Eng. Publication date 2017 ISSN 1369-412X Summary The literature offers various explanations to either support or refute the Ang et al. (2006) high idiosyncratic volatility low return puzzle. Fu (2009) finds a significantly positive contemporaneous relation between return and exponential generalized autoregressive conditional heteroskedastic idiosyncratic volatility. We use corporate hedging to shed light on this puzzle. Conceptually, idiosyncratic volatility matters to investors who face limits to diversification. But limits to diversification become less relevant for firms that consistently hedge. We confirm the main finding in Fu (2009), but only for firms that do not consistently hedge. For firms that adopt a consistent hedging policy, idiosyncratic volatility, whether contemporaneous or lagged, is insignificant in Fama–MacBeth regressions, controlling for size, book-to-market, momentum, liquidity, and industry effects. Notes In Press Language eng DOI 10.1111/irfi.12109 Field of Research 150201 Finance 1502 Banking, Finance And Investment Socio Economic Objective 970114 Expanding Knowledge in Economics HERDC Research category C1 Refereed article in a scholarly journal ERA Research output type C Journal article Copyright notice ©2017, International Review of Finance Persistent URL http://hdl.handle.net/10536/DRO/DU:30091230 Document type: Journal Article Collection: Department of Finance Related Links Link Description Connect to in press version Go to link with your DU access privileges   Connect to Elements publication management system Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Tue, 14 Feb 2017, 09:28:06 EST Wed, 15 Feb 2017, 04:00:10 EST Wed, 15 Feb 2017, 07:18:41 EST Tue, 21 Feb 2017, 05:05:16 EST Mon, 27 Feb 2017, 14:33:31 EST Mon, 27 Feb 2017, 14:39:00 EST Mon, 27 Feb 2017, 14:43:14 EST Sat, 04 Mar 2017, 01:32:58 EST Fri, 21 Apr 2017, 13:50:36 EST Filtered Full Citation counts:   Cited 0 times in TR Web of Science Cited 0 times in Scopus Search Google Scholar Access Statistics: 13 Abstract Views, 1 File Downloads  -  Detailed Statistics Created: Tue, 14 Feb 2017, 09:28:06 EST

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