We successfully replicate the main results of Ang, Hodrick, Xing, and Zhang (2006): Aggregate-volatility risk and idiosyncratic volatility (IV) are each priced in the cross-section of stock returns from 1963 to 2000. We also examine the pricing of volatility outside the original time period and...

We show that the pricing of idiosyncratic volatility (IV) is due to unaccounted systematic risk, which affects a large number of asset pricing anomalies. A single common IV component explains one third of variation in IV. Mispricing arises when sorting stocks by the part of IV predicted by...

We show that a contraction of mortgage supply after the Great Recession has increased housing rents. Our empirical strategy exploits heterogeneity in MSAs' exposure to regulatory shocks experienced by lenders over the 2010-2014 period. Tighter lending standards have increased demand for rental...