Expected Idiosyncratic Volatility Measures and Expected Returns
研究发现，使用交易者当时可获得的信息预测的特质波动率与预期收益无关，而正向关系仅存在于包含前瞻信息的波动率估计中，且由投资者无法预测的实现特质波动率部分驱动。
We find that idiosyncratic volatility forecasts using information available to traders at the time of the forecast are not related to expected returns. The positive relation documented in a number of other papers only exists when forward‐looking information is incorporated into the volatility estimate. That positive relation is driven by the realized idiosyncratic volatility component that cannot be forecasted by investors. Our findings are robust to several different empirical tests, volatility forecasting models and time periods.