This article examines whether idiosyncratic risk is priced for equities listed in the Australian Stock Exchange (ASX). Specifically, this article follows the methodology of Bali et al. (2005) and investigates whether idiosyncratic volatility is able to predict 1-month ahead excess returns on the...

Drawing upon rationales from the theories of investment and consumption under uncertainty and the models of sectoral reallocation, we assess the implications of industry-level stock returns volatility for the future state of the Australian economy in terms of real Gross Domestic Product (GDP)...