Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Idiosyncratic Volatility and the ICAPM Covariance Risk
Bing Han and Gang Li ♦ We show theoretically and empirically that the cross-section of stock return idiosyncratic volatilities contains useful information about the ICAPM. We construct a proxy cross-sectional bivariate idiosyncratic volatility (CBIV) for the covariance risk between the…