This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If …

We investigate the time series behavior of idiosyncratic volatility and its role in asset pricing in China. We find no … evidence of a long-term trend in the time series behavior of idiosyncratic volatility. Idiosyncratic volatility in China is … document evidence of a negative idiosyncratic volatility effect in China with anecdotal evidence suggesting that it could be …

Assuming a symmetric relation between returns and innovations in implied market volatility, Ang, Hodrick, Xing, and … Zhang (2006) find that sensitivities to changes in implied market volatility have a cross-sectional effect on firm returns … volatility innovations. We incorporate this asymmetry into the cross-sectional relation between sensitivity to volatility …

predict future returns, there is a significant relation between volatility spreads and expected stock returns. Portfolio level … the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide … evidence for a significantly positive link between expected returns and the call-put options' implied volatility spread that …

This paper documents that systematic volatility risk is an important factor that drives the value premium observed in … volatility risk, I document significant differences between volatility factor loadings of value and growth stocks. Furthermore …, when markets are classified into expected booms and recessions, volatility factor loadings are also time-varying. When …

We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in … with the highest earnings announcement idiosyncratic volatility and stocks with the lowest earnings announcement … idiosyncratic volatility exceeds 100 basis points in the 10 days leading up to the earnings announcements. The pricing of earnings …

idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging … markets. This study relates the current-month's idiosyncratic volatility to the subsequent month's stock returns for a sample …

One of the main explanations for the idiosyncratic volatility (IVOL) puzzle (i.e., the negative relation between lagged …