Whether average idiosyncratic volatility has recently risen, whether it is a good predictor for aggregate market returns and whether it has a positive relationship with expected returns in the cross-section are still matters of active debate.
Professor of Finance, EDHEC Business School and research fellow at CIREQ and CIRANO
PhD in Finance Candidate, EDHEC Business School and Research Assistant at EDHEC-Risk Institute
Professor of Finance, EDHEC Business School and Scientific Director of EDHEC-Risk Institute
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|Research Cluster :||Finance|