Unknown Unknowns: Uncertainty About Risk and Stock Returns
研究发现，用预期波动率的波动性衡量的风险不确定性高的股票，每年比风险不确定性低的股票收益低8%，该效应在美国和欧洲股市均成立，且不能用已有因子解释。
Stocks with high uncertainty about risk, as measured by the volatility of expected volatility (vol-of-vol), robustly underperform stocks with low uncertainty about risk by 8% per year. This vol-of-vol effect is distinct from (combinations of) at least 20 previously documented return predictors, survives many robustness checks, and holds in the United States and across European stock markets. We empirically explore the pricing mechanism behind the vol-of-vol effect. The evidence points toward preference-based explanations and away from alternative explanations. Collectively, our results show that uncertainty about risk is highly relevant for stock prices.