The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset … based on Granger causality test have lower expected returns, not related to idiosyncratic volatility. Secondly, empirical … evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor. …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their … bad state. Second, the strategically increased idiosyncratic volatility decreases equity betas, particularly in bad states … low returns and alphas in firms with high idiosyncratic volatility …