Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World
研究了45个市场的数据，发现之前报告的平均收益与特质波动率之间的关系源于买卖报价反弹导致的波动率估计偏差。使用报价中点收益估计的特质波动率与平均收益无显著关系，且特质波动率的定价源于买卖价差的负定价。
Abstract This paper examines data from 45 world markets and shows that the previously documented relation between mean returns and idiosyncratic volatility arises because of biases in volatility estimates that we can attribute to the bid–ask bounce in trade prices. We show that no significant relation exists between mean returns and idiosyncratic volatility estimated from quote-midpoint returns. Further, there is no significant relation between mean returns and the portion of transaction-price-based idiosyncratic volatility that is orthogonal to bid–ask spreads. The pricing of idiosyncratic volatility is due to the negative pricing of the bid–ask spread.