Purpose: People often face constraints such as a lack of time or information in taking decisions, which leads them to use heuristics. In these situations, fast and frugal rules may be useful for making adaptive decisions with fewer resources, even if it leads to suboptimal choices. When applied...

Although most of the empirical and theoretical asset pricing literature predicts a positive or no signi ficant relationship between idiosyncratic volatility and returns, Ang et al. (2006, 2009) find that high idiosyncratic volatility stocks have low returns and vice versa. We deliver further...