Pricing Implications of Noise
研究了噪声需求与偏态资产收益的相互作用，解释了为什么个股偏态与预期收益负相关，并预测偏态会增强波动率效应，在股票截面数据中得到验证。
Abstract We study the interaction between noisy demand and skewed asset payoffs. In our model, price as a function of quantities is convex in a neighborhood around zero if and only if skewness is positive. The combination of convexity and noise produces the idiosyncratic skewness effect, a documented negative relationship between an asset’s idiosyncratic skewness and its expected return. We further offer an explanation for the idiosyncratic volatility puzzle. Finally, our theory predicts that higher idiosyncratic skewness strengthens the idiosyncratic volatility effect (and vice versa). We find support for this prediction in the cross-section of stock returns.