This paper explores the issue that the idiosyncratic volatility (IVOL) puzzle documented in Ang et al. (2006) can partly be attributed to estimation bias when assessing systematic risk with information not in investor’s information set. We first analytically show that there exists a...

This paper explores the issue that the idiosyncratic volatility (IVOL) puzzle documented in Ang et al. (2006) can partly be attributed to estimation bias when assessing systematic risk with information not in investor's information set. We first analytically show that there exists a conditioning...