Idiosyncratic Risk Matters!
发现股票平均方差（主要来自特质风险）能显著正向预测市场回报，而市场方差无预测力，且结果不受已知宏观变量影响，支持时变风险溢价模型。
Abstract This paper takes a new look at the predictability of stock market returns with risk measures. We find a significant positive relation between average stock variance (largely idiosyncratic) and the return on the market. In contrast, the variance of the market has no forecasting power for the market return. These relations persist after we control for macroeconomic variables known to forecast the stock market. The evidence is consistent with models of time‐varying risk premia based on background risk and investor heterogeneity. Alternatively, our findings can be justified by the option value of equity in the capital structure of the firms.