On the Robustness of Idiosyncratic Volatility Effect
研究了特质波动率效应在纽约证券交易所股票、排除小盘股和低流动性股后是否依然稳健，并检验了该效应是否源于短期反转或随时间减弱。
The idiosyncratic volatility (IVol) effect is robust to restricting the sample to New York Stock Exchange (NYSE) firms (once the proper listing indicator is used) and to excluding from the sample small, illiquid, and low-price stocks. The idiosyncratic volatility effect is also unlikely to stem from the short-run reversal, as the IVol effect stays significant for about six months and seems stronger for high turnover firms, which do not exhibit short-term reversal. The IVol effect also does not seem to weaken postpublication. This paper was accepted by Lukas Schmid, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.04140 .