"The paper analyzes aggregate idiosyncratic volatility (IV) in G7 countries using recent data up to 2003. Consistent with Campbell, Lettau, Malkiel, and Xu's (2001) results obtained from U.S. data over the period 1962-97, we find that the equal-weighted IV exhibits a significant upward trend in...

"Campbell and Vuolteenaho (2004) and Brennan, Wang, and Xia (2004) recently argue that the value premium co-moves with investment opportunities and thus reflects rational pricing. This paper extends their analysis by showing that the ICAPM interpretation of the value premium also sheds light on...

"The paper documents a new empirical result that a high level of aggregate U.S. idiosyncratic stock return volatility is usually associated with a future appreciation in U.S. dollars. The relation is highly significant for most foreign currencies. For example, idiosyncratic volatility accounts...

"If there is no priced risk--including volatility risk--associated with hedging an option, then expected delta hedging errors should be zero. This paper finds that delta hedging errors of a synthetic at-the-money call option on foreign exchange futures are significantly positive and cannot be...