Guo, Hui (contributor); Higbee, Jason (contributor) - 2005 - rev.
] show that aggregate stock market volatility and average
idiosyncratic stock volatility jointly forecast stock returns. In … predictability, CAPM, ICAPM, Idiosyncratic Volatility, Stock
Market volatility.
JEF number: G1.
2
Economic theories, e … excess stock market
return when volatility increases.
1
Early authors (e.g., French, Schwert, and Stambaugh
[1987 …