Irvine, Paul J.; Pontiff, Jeffrey - In: Review of Financial Studies 22 (2009) 3, pp. 1149-1177
Over the past 40 years, the volatility of the average stock return has drastically outpaced total market volatility. Thus, idiosyncratic return volatility has dramatically increased. We estimate this increase to be 6% per year. Consistent with an efficient market, this result is mirrored by an...