Idiosyncratic Volatility and Firm‐Specific News: Beyond Limited Arbitrage
研究了新闻公告期间特质波动与收益的关系，发现非新闻波动比新闻波动更稳健地负向预测收益，且其定价与彩票类特征相关，表明波动率存在超越有限套利的价格效应。
We examine the relation between idiosyncratic volatility and returns around news announcements. Mispricing is most likely to occur during news announcements. If idiosyncratic volatility generates a limit to arbitrage, then the negative relation between returns and news volatility should be stronger than the relation to nonnews volatility. Instead, we find nonnews volatility has a robust negative relation to returns and lacks key features expected if volatility were a reflection of limits to arbitrage. Pricing of nonnews volatility is related to lottery‐like features of a stock's return. Our results suggest that volatility has a price effect beyond a limit to arbitrage.