One Vol to Rule Them All: Common Volatility Dynamics in Factor Returns
研究发现交易型股票因子收益的波动率存在一个共同成分（CFV），它存在于正交因子中，源于市场对基本面新闻的反应，能提升波动率预测，并刻画随机贴现因子的时变波动特征。
Abstract We show that a common component governs volatility dynamics across a wide range of traded equity factors. This “common factor volatility” (CFV) exists even among orthogonal factors. CFV occurs in both cash-flow and discount-rate components of factor returns and derives from market responses to fundamental news rather than underlying commonality in news volatility. Incorporating CFV improves factor volatility forecasts relative to models that include only own-factor volatility. CFV allows us to characterize stochastic discount factor (SDF) volatility dynamics in a very general sense and we show that many popular models imply SDFs with time-varying volatility that correlates strongly with CFV.