Campbell, John Y.; Lettau, Martin; Malkiel, Burton G.; … - National Bureau of Economic Research - 2022
This paper reviews the literature on idiosyncratic equity volatility since the publication of "Have Individual Stocks …, Gharghori, and Zhong and by Leippold and Svaton, and we present volatility estimates through the end of 2021, significantly … extending the period covered in our original paper as well as the two replication studies. After spiking in the 1999- 2000 …