Good Volatility, Bad Volatility, and the Cross Section of Stock Returns
利用个股日内数据将已实现波动分解为与正负高频价格变动对应的好波动和坏波动，发现基于好减坏波动排序构建的投资组合回报差异显著且稳健。
Based on intraday data for a large cross section of individual stocks and newly developed econometric procedures, we decompose the realized variation for each of the stocks into separate so-called realized up and down semi-variance measures, or “good” and “bad” volatilities, associated with positive and negative high-frequency price increments, respectively. Sorting the individual stocks into portfolios based on their normalized good minus bad volatilities results in economically large and highly statistically significant differences in the subsequent portfolio returns. These differences remain significant after controlling for other firm characteristics and explanatory variables previously associated with the cross section of expected stock returns.