The Value of Investor Sophistication
提出用特质波动率价差衡量个股层面的投资者成熟度，发现投资者成熟度与股票回报负相关，尤其在卖空限制更严格的股票中更显著，且该关系不能被影响特质波动率-回报关系的变量解释。
ABSTRACT We introduce the idiosyncratic volatility spread as a novel measure of the stock‐level investor sophistication. Our study reveals a negative relation between investor sophistication and stock returns, particularly for stocks with more binding short‐sale constraints. Importantly, this negative relation cannot be attributed to variables that affect the idiosyncratic volatility–return relation. Our findings hold across different factor models and estimation methods, demonstrating the robustness of the results. Furthermore, we observe that this relation is more pronounced during periods characterized by high investor sentiment, high market uncertainty, and economic contractions. Further tests suggest that investor sophistication introduces heterogeneity in beliefs among investors due to their varying model selection, demonstrating that investor sophistication is not driven solely by disagreement.