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Idiosyncratic Return Volatility in the Cross-Section of Stocks. (2011). Kondor, Péter ; Kang, Namho ; Sadka, Ronnie .
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:8307.

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  32. Panel A: Proportion of All Deciles Decile 10 Decile 5 Decile 1 1970 1975 1980 1985 1990 1995 2000 2005 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 1965 1970 1975 1980 1985 1990 1995 2000 2005 0 0.5 1 1.5 2 Panel B: Proportion of Extreme Deciles Decile 1 Decile 10 Figure 4. Time trend of the share of each idiosyncratic volatility decile in the aggregate idiosyncratic volatility. Panel A shows the time series of the share of each decile of the idiosyncratic volatility in the aggregate idiosyncratic volatility of the cross-section. Panel B shows the shares of the 1st (low volatility) and the 10th (high volatility) deciles. A 12-month backward moving average is used to obtain a smoothed time series in both panels. In Panel B, each time series is normalized through dividing by its beginning-of-the-sample value.
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  33. Panel B: Size QuintilesPanel A: Illiquidity Quintiles 1970 1980 1990 2000 0 0.5 1 1.5 2
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  34. Q5(Illiquid) 1970 1980 1990 2000 0 0.5 1 1.5 2 Q5(Large) Figure 5. Time trends of the extreme deciles of the idiosyncratic volatility in illiquidity and size quintiles. The figure plots the shares of the 1st (low volatility) and the 10th (high volatility) deciles of the idiosyncratic volatility in illiquidity and size quintiles. A 12-month backward moving average is used and each time series is normalized through dividing by its beginning-of-the-sample value. The first row shows illiquidity and size Quintile 1 and the last row shows Quintile 5.
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  39. The share of a decile in the aggregate idiosyncratic volatility is calculated as follows. For each stock-month, daily returns are regressed on Fama-French three factors. Residuals from the regressions are squared and averaged over the month to measure idiosyncratic volatility, following Ang, Hodrick, Xing, and Zhang (2006). Then stocks are ranked into deciles based on their idiosyncratic volatilities. Finally, the share of each decile in a given month is calculated as the ratio of value-weighted sum of idiosyncratic volatility of the stocks in the decile to the value-weighted sum of stocks in the entire cross-section. Daily returns of common stocks (share code in 10 and 11) are obtained from CRSP for the shares traded in NYSE, AMEX, and Nasdaq for the period 1963â2008. Stocks with less than $2 at the end of the previous year or less than 100 trading days during the previous year are excluded.
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