• I. The Model
  • A. Information Structure
  • B. Firm Valuation
  • II. Idiosyncratic Volatility and Stock Returns
  • A. Theoretical Findings
  • B. Testable Implications and Empirical Support
  • III. Implementation of the Model
  • A. Simulation Methodology
  • B. Calibration
  • C. Results
  • IV. Conclusion
  • Appendix
  • References