Motivated by mixed evidence related to the pricing of measures of risk, we investigate the information content of innovations in implied idiosyncratic volatility. Using both cross-sectional and time-series methodologies, we find that innovations in implied idiosyncratic volatility explain future...

We investigate the relation between various alternative risk measures and future daily returns using a sample of firms over the 1988-2009 time period. Previous research indicates that returns are not normally distributed and that investors seem to care more about downside risk than total risk....

We use a sample of individual firm stock returns over the 1988–2009 time period to determine whether: (1) expected daily returns are related to asymmetric risk measures, (2) expected daily returns are related to the directional change of the prior day's price, and (3) our results are robust to...