This paper reviews the literature on idiosyncratic equity volatility since the publication of "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk" in 2001. We respond to replication studies by Chiah, Gharghori, and Zhong and by Leippold and Svaton, and we...

The standard test for the pricing role of aggregate idiosyncratic risk in the conventional predictive regression considers aggregate total idiosyncratic risk a reasonable proxy for its undiversified component, which should be priced as theory suggests. However, when the priced component is...

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly correlations among individual stocks and...

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly correlations among individual stocks and...

Despite the crucial role of the market factor in Fama and French's three-factor model, the market beta has failed to explain the cross-sectional differences in expected returns proxied by the future realized returns of individual stocks. However, current evidence does not necessarily reject the...

Recent studies have challenged the cross-sectional explanatory power of the size variable for stock returns. In this paper, we reexamine the size effect by disentangling the delisting effect at the same time. We believe that firms to be delisted from their current stock exchanges usually...

In this paper we show that the failure of the CAPM beta to predict individual stocks' expected returns documented by Fama and French (1992) is largely driven by a small group of stocks with large betas and high idiosyncratic volatilities. These stocks' betas tend to reverse. Therefore, even when...