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英文文献：Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors
英文文献作者：Nektarios Aslanidis,Charlotte Christiansen,Neophytos Lambertides,Christos S. Savva
英文文献摘要：
In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-finance factors as well as upon traditional asset pricing factors. The macro-finance factors are constructed from a large pool of macroeconomic and financial variables. Cleaning for macro-finance effects reverses the puzzling negative relation between returns and idiosyncratic volatility documented previously. Portfolio analysis shows that the effects from macro-finance factors are economically strong. The relation between idiosyncratic volatility and returns does not vary with the NBER business cycles. The empirical results are highly robust
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