Peterson, David R.; Smedema, Adam R. - In: Journal of Banking & Finance 35 (2011) 10, pp. 2547-2558
We show that the negative relation between realized idiosyncratic volatility, measured over the prior month, and returns is robust in non-January months. Controlling for realized idiosyncratic volatility, we show that the relation between returns and expected idiosyncratic volatility is positive...