Does idiosyncratic volatility proxy for risk exposure?
We decompose aggregate market variance into an average correlation component and an average variance component. Only the latter commands a negative price of risk in the cross section of portfolios sorted by idiosyncratic volatility. Portfolios with high (low) idiosyncratic volatility relative to the...
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| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2013
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| Online Access: | https://hdl.handle.net/10356/98065 http://hdl.handle.net/10220/12190 |
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| Institution: | Nanyang Technological University |
| Language: | English |
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