Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors-特质波动之谜:...

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英文文献：Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors-特质波动之谜:宏观金融因素的影响
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

在本文中，我们详细研究了特质波动率与股票收益之间的截面关系。作为一种新颖性，特异波动率是通过调节宏观金融因素和传统资产定价因素来获得的。宏观金融因素是由大量的宏观经济和金融变量构成的。对宏观融资效应的清理，逆转了之前记录的收益率与特殊波动性之间令人费解的负相关关系。投资组合分析表明，宏观金融因素的经济效应较强。特质波动率和回报之间的关系不随NBER商业周期而变化。实证结果具有很强的稳健性

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