Research on idiosyncratic volatility in developing countries, particularly Indonesia, is scant. This study is the first … information environment and idiosyncratic volatility by using a sample of 499 companies listed on the Indonesia Stock Exchange … dependent variable was idiosyncratic volatility, and the independent variable used an information environment consisting of …

individual stochastic discount factors. We prove that equity price volatility becomes arbitrarily large as the volatility of … aggregate output volatility falls. We propose a two-step spectral factorization method that permits closed-form solutions in the …