Aggregate Idiosyncratic Volatility
研究了23个发达股票市场的总体特质波动率，发现2008年后无上升趋势，其变化可用平稳自回归过程描述，且跨国高度相关，主要受增长机会、美国市场波动和方差溢价驱动。
Abstract We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies. We find no evidence of upward trends after extending the sample to 2008. Instead, idiosyncratic volatility is well described by a stationary autoregressive process that occasionally switches into a higher-variance regime that has relatively short duration. We also document that idiosyncratic volatility is highly correlated across countries. Most of the time variation in idiosyncratic volatility can be attributed to variation in a growth opportunity proxy, total (U.S.) market volatility, and in most specifications, the variance premium, a business cycle sensitive risk indicator.