What Can We Learn from a Cross-Section of Returns? An Investigation of Idiosyncratic Volatility Range

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Serguey Khovansky; Zhylyevskyy, Oleksandr;
  • Subject: Common shock; Systematic risk; Cross-sectional returns; Idiosyncratic volatility; Generalized method of moments
    • jel: jel:C21 | jel:G10 | jel:C51

We investigate empirical properties of idiosyncratic volatility using cross-sections of stock returns in the standard framework of geometric Brownian motion price dynamics. Knowledge of the sign and magnitude of idiosyncratic volatility characteristics may help us bette... View more
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