This paper proposes an ex post volatility estimator, called mixed interval realized variance (MIRV), that uses high … theoretical properties of the new volatility estimator are illustrated and compared with those of the two currently dominant … realized measures: realized volatility and realized range. A simulation study adds to this comparison and highlights some …

- and out-of-sample, using predictive variables such as the dividend yield or the volatility risk premium …

The idiosyncratic volatility effect of Ang et al. (2006) is robust to restricting the sample to NYSE firms (once proper … volatility effect is also unlikely to stem from the short-run reversal of Jegadeesh (1990), as the idiosyncratic volatility … effect stays significant for about six months. The idiosyncratic volatility effect also does not seem to weaken post-publication …