Application of calendar-time portfolios: idiosyncratic volatility puzzle скачать в хорошем качестве

Application of calendar-time portfolios: idiosyncratic volatility puzzle

In this video, we will replicate the calendar-time portfolio analysis from Ang et al. (2006) about the relation of idiosyncratic volatility and stock returns. We will take you step by step through the Stata code for replicating Table VI of the Ang et al. (2006) paper. This video focusses on the calendar-time portfolio analysis. It does not cover the estimation of idiosyncratic volatility. The estimation will be covered in a future video. 0:00:00 Title 0:01:25 IVol puzzle 0:03:35 Empirical setup 0:07:10 Main result 0:11:45 Start replication 0:15:45 Editing CRSP 0:17:40 Panel data structure 0:19:20 Stock filter 0:23:35 Merge IVol data 0:27:35 Portfolio assignment 0:33:05 Further editing CRSP 0:36:40 Delisting returns 0:43:25 Computing portfolio returns 0:45:45 Equally weighted returns 0:50:20 Value weighted returns 0:55:30 Average portfolio return 1:02:05 Original and replication results 1:06:35 References