The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days?
研究发现特质波动率与下月收益的负相关主要出现在每月第三周，且周一负收益与周五正收益的失衡（尤其是第三周五的抛售压力）解释了该效应，剔除第三周五及随后的周一可使月度效应降低至少40%。
The idiosyncratic volatility (IVOL) anomaly exhibits strong calendar effects. The negative relation between IVOL and the next-month return obtains mainly in the third week of the month. The IVOL-return relation is generally negative on Mondays and positive on Fridays. However, the positive impact is absent on the third Friday because of selling pressure from stocks delivered at option expiration. This imbalance between the negative and positive returns during the third week of the month has a large impact on the IVOL-return relation. Removing the third Friday and subsequent Monday return reduces the monthly IVOL effect by at least 40%. This paper was accepted by Karl Diether, finance.