Does Aggregate Uncertainty Explain Size and Value Anomalies?
Aboura, Sofiane; Arisoy, Eser (2017), Does Aggregate Uncertainty Explain Size and Value Anomalies?, Applied Economics, 49, 32, p. 3214-3230. 10.1080/00036846.2016.1257107
Type
Article accepté pour publication ou publiéLien vers un document non conservé dans cette base
http://dx.doi.org/10.1080/00036846.2016.1257107Date
2017Nom de la revue
Applied EconomicsVolume
49Numéro
32Éditeur
Taylor and Francis
Pages
3214-3230
Identifiant publication
Métadonnées
Afficher la notice complèteAuteur(s)
Aboura, SofianeDauphine Recherches en Management [DRM]
Arisoy, Eser
Dauphine Recherches en Management [DRM]
Résumé (EN)
This paper examines the impact of aggregate uncertainty on return dynamics of size and book-to-market ratio sorted portfolios. Using VVIX as a proxy for aggregate uncertainty, and controlling for market risk, volatility risk, correlation risk and the variance risk premium, we document significant portfolio return exposures to aggregate uncertainty. In particular, portfolios that contain small and value stocks have significant and negative uncertainty betas, whereas portfolios of large and growth stocks exhibit positive and significant uncertainty betas. Using a quasi-natural experimental setting around the financial crisis, we confirm the differential sensitivity of small versus big and value versus growth portfolios to aggregate uncertainty. We posit that due to their negative uncertainty betas, uncertainty-averse investors demand extra compensation to hold small and value stocks. Our results offer an uncertainty-based explanation to size and value anomalies.Mots-clés
Uncertainty; vol-of-vol; VVIX; size; valuePublications associées
Affichage des éléments liés par titre et auteur.
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Aboura, Sofiane; Arisoy, Eser (2017) Document de travail / Working paper
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Arisoy, Eser (2014-01) Article accepté pour publication ou publié
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Agarwal, Vikas; Arisoy, Eser; Naik, Narayan Y. (2015) Communication / Conférence
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Agarwal, Vikas; Arisoy, Eser; Naik, Narayan Y. (2017) Article accepté pour publication ou publié
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Arisoy, Eser; Altay-Salih, Aslihan; Akdeniz, Levent (2015) Article accepté pour publication ou publié