Does Idiosyncratic Risk Matter for Individual Securities?
在GARCH-in-mean框架下研究个股特质风险与收益的关系，发现平均15%的股票存在显著关系，其中9%为正相关，且正负相关的影响因素不同。
This paper investigates the relationship between idiosyncratic risk and returns for individual securities within a generalized autoregressive conditional heteroskedascticity (GARCH)‐in‐mean framework. We demonstrate that, on average, 15% of stocks exhibit a significant relationship between returns and risk, of which 9% are positive. These proportions vary over time and with model specifications. Some characteristics influence the probability of a positive and a negative relationship, while others appear to affect only one, but not the other. This evidence implies that the factors that explain a positive connection between idiosyncratic risk and returns are different from the factors that explain a negative connection.