Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
研究发现，由于买入比卖空更容易，特质波动率与平均收益的负相关关系主要由被高估的股票驱动，而被低估的股票中两者正相关，且高投资者情绪会强化这一不对称性。
ABSTRACT Buying is easier than shorting for many equity investors. Combining this arbitrage asymmetry with the arbitrage risk represented by idiosyncratic volatility (IVOL) explains the negative relation between IVOL and average return. The IVOL‐return relation is negative among overpriced stocks but positive among underpriced stocks, with mispricing determined by combining 11 return anomalies. Consistent with arbitrage asymmetry, the negative relation among overpriced stocks is stronger, especially for stocks less easily shorted, so the overall IVOL‐return relation is negative. Further supporting our explanation, high investor sentiment weakens the positive relation among underpriced stocks and, especially, strengthens the negative relation among overpriced stocks.