Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns
研究发现，按市值加权的个股异质波动率和整体股市波动率共同对股市超额收益有强预测力，其中股市风险收益关系为正，而异质波动率与未来收益负相关，且其预测能力与消费财富比类似。
We find that the value-weighted idiosyncratic stock volatility and aggregate stock market volatility jointly exhibit strong predictive power for excess stock market returns. The stock market risk–return relation is found to be positive, as stipulated by the capital asset pricing model; however, idiosyncratic volatility is negatively related to future stock market returns. Also, idiosyncratic volatility appears to be a pervasive macrovariable, and its forecasting abilities are very similar to those of the consumption–wealth ratio proposed by Lettau and Ludvigson.