The Relation Between Idiosyncratic Volatility and Returns for U.S. Mutual Funds
Theoretically the relation between returns and idiosyncratic volatility should be non-existent or positive. Many empirical studies confirm this but Ang, Hodrick, Xing and Zhang (2006) contest the conventional view and find a negative relationship for a sample of U.S. firms. I contribute to the field by investigating the relation for a sample of U.S. mutual funds. The sample consist of a total of 1