Commonality in idiosyncratic volatility cannot be completely explained by time-varying volatility. We decompose the common factor in idiosyncratic volatility (CIV) of Herskovic et al. (2016) into two components: idiosyncratic volatility innovations (VIN) and time-varyingidiosyncratic volatility...

Size, value, and momentum are well known common factors to stock returns. I document size, value, and momentum premiums in industries are strongly correlated with themselves across industries. The correlation structures indicate strong common factor structure at the industry level. The strong...

This paper examines the behavior of futures prices and trader positions around the occurrence of price limits in commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of temporary volatility induced by the trading of...