The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
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https://www.nber.org/papers/w20076
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We show that firms idiosyncratic volatility obeys a strong factor structure and that shocks to the common factor in idiosyncratic volatility (CIV) are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than those in the highest quintile. The CIV factor helps to
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美国国家经济研究局创建时间：
2014-04-01
