idiosyncratic risk and finds a strong positive relation between expected idiosyncratic volatility and returns, suggesting missing … systematic risk factors or inefficient markets. We document that this positive relation between idiosyncratic volatility and … returns only exists for small firms which are difficult to arbitrage. The relation between idiosyncratic volatility and …

predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level … the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide … evidence for a significantly positive link between expected returns and the call-put options' implied volatility spread that …

The idiosyncratic volatility anomaly, as first documented in Ang, Hodrick, Xing, and Zhang (2006), has received … provide evidence towards distinguishing potential explanations. Our results show that the idiosyncratic volatility anomaly is … addition, we show that the idiosyncratic volatility anomaly is not due to the market microstructure effect and cannot be …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …

We propose a new, price-based measure of information risk called abnormal idiosyncratic volatility (AIV) that captures … information asymmetry faced by uninformed investors. AIV is the idiosyncratic volatility prior to information events in excess of …

volatility. This empirical phenomenon is shown to arise within a tractable accounting-based valuation model that allows for risk … aversion and stochastic earnings volatility. The model predicts that expected stock (stock return volatility) returns are … to explain price dynamics across stock and volatility markets …

In this note we document interactive relations between the excess volatility and the momentum effect in the cross … profitable strategy is to buy the loser portfolio with the greatest excess volatility and sell the loser or winner portfolio with … the least excess volatility for all the three periods. But there are profitable strategies of buying a winner portfolio …