Idiosyncratic Volatility and the ICAPM Covariance Risk
从理论和实证上证明，股票收益的特质波动截面信息对ICAPM协方差风险有指示作用，构建的CBIV指标能稳健预测股权风险溢价，并解释了尾部指数的收益可预测性。
Abstract We show theoretically and empirically that the cross-section of stock return idiosyncratic volatilities contains useful information about the ICAPM. We construct a proxy cross-sectional bivariate idiosyncratic volatility (CBIV) for the covariance risk between the market and the unobserved hedge portfolio under the ICAPM. Consistent with the ICAPM pricing relation, CBIV is a robust and significant predictor of the equity risk premium. We further show that the return predictability of the tail index in Kelly and Jiang (2014) can be explained by the ICAPM covariance risk.