Does Idiosyncratic Volatility Proxy for Risk Exposure?
将市场总方差分解为平均相关性和平均方差两部分，发现只有后者在特质波动率排序的投资组合横截面中具有负的风险价格，从而解释了特质波动率之谜。
We decompose aggregate market variance into an average correlation component and an average variance component. Only the latter commands a negative price of risk in the cross section of portfolios sorted by idiosyncratic volatility. Portfolios with high (low) idiosyncratic volatility relative to the Fama-French (1993) model have positive (negative) exposures to innovations in average stock variance and therefore lower (higher) expected returns. These two findings explain the idiosyncratic volatility puzzle of Ang et al. (2006, 2009). The factor related to innovations in average variance also reduces the pricing errors of book-to-market and momentum portfolios relative to the Fama-French (1993) model. © The Author 2012.