Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 23, 2022 erstellt
Beschreibung:
By using LASSO to select among the 53 determinants of idiosyncratic volatility documented in the literature, we identify a component that is positively linked to future stock returns, in addition to the negative component that obscures the positive component. This positive component explains the asymmetric pricing results of idiosyncratic volatility in Stambaugh, Yu, and Yuan (2015), and its predictive power is not affected by mispricing, even for stocks with low institutional ownership or during periods of high sentiment. Finally, we show that this positive component commands a positive risk premium and that its pricing effect is affected by firm’s visibility, consistent with Merton (1987)