The Cross‐Section of Volatility and Expected Returns
研究总体波动率风险在股票收益横截面上的定价，发现对总体波动率变化敏感的股票平均收益较低，且高特质波动率股票收益极低，这些现象无法被规模、账面市值比、动量或流动性效应解释。
ABSTRACT We examine the pricing of aggregate volatility risk in the cross‐section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. Stocks with high idiosyncratic volatility relative to the Fama and French (1993, Journal of Financial Economics 25, 2349) model have abysmally low average returns. This phenomenon cannot be explained by exposure to aggregate volatility risk. Size, book‐to‐market, momentum, and liquidity effects cannot account for either the low average returns earned by stocks with high exposure to systematic volatility risk or for the low average returns of stocks with high idiosyncratic volatility.