Jiang, Xiaoquan; Lee, Bong-Soo - In: The Financial Review 49 (2014) 3, pp. 593-618
We examine the dynamic relations among market returns, market (MV), and idiosyncratic (IV) around business cycles. Compared to the conventional view, which treats MV and IV separately, we first find that excess return on the market anticipates negative MV and IV, suggesting market return's role...