Lottery preferences and the idiosyncratic volatility puzzle
研究了投资者对偏度的异质性偏好如何影响特质波动率与平均收益之间的负相关关系，发现该谜题在彩票型股票持有者中及经济下行期更为显著。
Abstract We investigate the empirical implications of investors’ heterogeneous preferences for skewness with respect to the idiosyncratic volatility (IVOL) puzzle, that is, the negative correlation between IVOL and mean returns. We show that the IVOL puzzle is stronger: (1) within stocks held primarily by agents with a preference for lottery‐like payoffs; and (2) during economic downturns, when the demand for lottery‐like payoffs is high. These results support recent theories that suggest lottery preferences could be a significant source of the IVOL puzzle.