Bekaert, Geert; Hodrick, Robert J.; Zhang, Xiaoyan - In: Journal of Financial and Quantitative Analysis 47 (2012) 06, pp. 1155-1185
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 described by a stationary autoregressive process that...