idiosyncratic volatility. We contend that at the firm level, the sample correlation between unexpected returns and expected … idiosyncratic volatility can cloud the true relation between the expected return and expected idiosyncratic volatility. We show … strong evidence that unexpected idiosyncratic volatility is positively related to unexpected returns. Using unexpected …

-affine volatility dynamics. We use extensive empirical data sets to study how infinite-activity Variance Gamma and Normal Inverse … Gaussian jumps with affine and non-affine volatility dynamics improve goodness of fit and option pricing performance. With …

increase in the idiosyncratic volatility of the underlying stock. This result can not be explained by standard risk factors. It … is distinct from existing anomalies in the stock market or volatility-related option mispricing. It is consistent with … idiosyncratic volatility stocks due to their higher arbitrage costs. Controlling for limits to arbitrage proxies reduces the …