Expected profitability, the 52-week high and the idiosyncratic volatility puzzle
研究了基本面新闻（预期盈利能力）和市场新闻（52周高点价格比）如何共同解释高特质波动率股票的异常低收益，发现两者结合才能解释该异象，且投资者反应不足是核心原因。
We investigate the joint ability of fundamental-based and market-based news to explain the anomalous underperformance of stocks with high idiosyncratic volatility (high IVOL). An out-of-sample prediction of future profitability is adopted as a proxy for fundamental-based news while market-based news is represented by the 52-week high price ratio. A sample of UK stocks over the period January 1996 to December 2017 is analysed. The empirical results indicate that both the fundamental-based projected profitability and the 52-week high price ratio are important in explaining the IVOL anomaly. In contrast, individually, neither variable fully accounts for the anomaly. This relation is more pronounced following a period of high sentiment and during an upmarket. Further results suggest that underreaction lies at the heart of this explanation.