Does Idiosyncratic Risk Really Matter?
检验了Goyal和Santa-Clara（2003）发现的股票平均波动率与投资组合收益的正相关关系，发现该结果仅由纳斯达克小盘股驱动且部分源于流动性溢价，在扩展样本中不成立，且中位数和市值加权平均波动率与收益无显著关联。
ABSTRACT Goyal and Santa‐Clara (2003) find a significantly positive relation between the equal‐weighted average stock volatility and the value‐weighted portfolio returns on the NYSE/AMEX/Nasdaq stocks for the period of 1963:08 to 1999:12. We show that this result is driven by small stocks traded on the Nasdaq, and is in part due to a liquidity premium. In addition, their result does not hold for the extended sample of 1963:08 to 2001:12 and for the NYSE/AMEX and NYSE stocks. More importantly, we find no evidence of a significant link between the value‐weighted portfolio returns and the median and value‐weighted average stock volatility.