The Dynamic Relation Between Returns and Idiosyncratic Volatility
指出用滞后一期的波动率回归超额收益只能看到特质风险的有限动态效应，通过纠正特质波动的序列相关性，发现其对收益有显著正向影响，且结果稳健，表明市场可能错误定价了特质风险。
We claim that regressing excess returns on one‐lagged volatility provides only a limited picture of the dynamic effect of idiosyncratic risk, which tends to be persistent over time. By correcting for the serial correlation in idiosyncratic volatility, we find that idiosyncratic volatility has a significant positive effect. This finding seems robusrt for various firm size portfolios, sample periods, and measures of idiosyncratic risk. Our findings suggest stock markets mis‐price idiosyncratic risk. There may be some measurement problems with idiosyncratic risk. There may be some measurement problems with idiosyncratic risk that could be related to nondiversifiable risk.