plays an important role in explaining the idiosyncratic volatility (IVOL) puzzle, the correlation among IVOL, market beta …

Campbell, Lettau, Malkiel, and Xu (2001) document a positive trend in idiosyncratic volatility during the 1962 …-1997 period. We show that by 2003 volatility falls back to pre-1990s levels. Furthermore, we show that the increase and subsequent … in idiosyncratic volatility through the 1990s was not a time trend but, rather, an episodic phenomenon, at least …

composed by heterogeneous traders which behave differently depending on the intensity of the price fluctuations and uncertainty …

composed by heterogeneous traders which behave differently depending on the intensity of the price fluctuations and uncertainty …