Firm Disclosures, Uncertain Profits, and (Indirectly) Priced Idiosyncratic Volatility
研究发现特质波动率与预期收益的负相关仅存在于低盈利且盈利不确定性高的公司，并提出一个不完全信息模型解释该现象，模型能解释数据中86%的负相关关系。
ABSTRACT We show that the negative relation between idiosyncratic volatility (IVOL) and expected returns exists only among firms with low profitability and high uncertainty about profitability. We propose an incomplete information model in which agents cannot disentangle systematic from idiosyncratic shocks. While not priced directly, IVOL affects expected returns by lowering signal accuracy, which decreases the factor loading on the systematic risk and yields the negative IVOL‐return relation. The model predicts that this negative relation is the strongest among underperforming firms with highly uncertain profitability. Our model effectively explains a significant portion of the observed negative IVOL‐return relation (86%) in the data.