The International Commonality of Idiosyncratic Variances
研究了23个发达市场中个股特质回报波动的全球共性，发现其强于国际回报共性，且与特质现金流波动、折现率变化及市场条件波动相关。
We document strong global commonality in country idiosyncratic return variances across 23 developed markets, which is stronger than international return commonality. The global common factor of idiosyncratic return variances is highly correlated with that of idiosyncratic cash flow variances and is also significantly related to variables capturing aggregate discount rate variation and the conditional market variance. Furthermore, aggregate idiosyncratic return and cash flow variances are mostly but not always countercyclical. This paper was accepted by Kay Giesecke, finance. Funding: X. Zhang acknowledges financial support from the National Natural Science Foundation of China [Grant 72350710220] and the Beijing Natural Science Foundation [Grant IS23127]. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.01398 .