Aggregate Idiosyncratic Volatility
Geert Bekaert; Robert J. Hodrick; Xiaoyan Zhang · 2012 · Journal of Financial and Quantitative Analysis
WASTE classifies this as Negative / Null Result Report · AI classification, approximate
The study found no significant effect — useful as a negative control or null benchmark for your own design.
The finding, in one line
“We find no evidence of upward trends after extending the sample to 2008.”
Abstract (excerpt)
Abstract We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies. We find no evidence of upward trends after extending the sample to 2008. Instead, idiosyncratic volatility is well…
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Metadata source: OpenAlex · DOI 10.1017/s0022109012000543