Does idiosyncratic volatility proxy for a missing risk factor? Evidence using portfolios as test assets
研究特质波动率之谜是否由缺失风险因子导致，通过分析发现使用分散化投资组合时该谜题消失，表明可分散和不可分散风险均有作用。
Abstract One of the main explanations for the idiosyncratic volatility (IVOL) puzzle (i.e., the negative relation between lagged IVOL and returns) is a missing risk factor. We show, analytically, that if IVOL proxies for a missing risk factor, then the negative relation between IVOL and returns should persist at the portfolio level. Empirically, we find that the IVOL puzzle disappears when we use well‐diversified portfolios as test assets. The IVOL puzzle also weakens after controlling for additional risk factors. Overall, our results suggest that both diversifiable (i.e., true idiosyncratic risk) and nondiversifiable risk play a role in explaining the IVOL puzzle.