Idiosyncratic Volatility Covariance and Expected Stock Returns
研究发现，个股特质波动率存在共同变动，且与整体特质波动率创新相关性高的股票收益更低，表明风险厌恶投资者愿意为在整体特质波动率高时表现好的股票支付溢价。
Given that the idiosyncratic volatility (IDVOL) of individual stocks co‐varies, we develop a model to determine how aggregate idiosyncratic volatility (AIV) may affect the volatility of a portfolio with a finite number of stocks. In portfolio and cross‐sectional tests, we find that stocks whose returns are more correlated with AIV innovations have lower returns than those that are less correlated with AIV innovations. These results are robust to controlling for the stock's own IDVOL and market volatility. We conclude that risk‐averse investors pay a premium for stocks that pay well when AIV is high, consistent with our model.