Using options-implied variance, a forward-looking measure of conditional variance, we revisit the debate on the idiosyncratic risk-return relation. In both cross-sectional (for individual stocks) and time-series (for the market index) regressions, we find a negative relation between...

Using options-implied variance, a forward-looking measure of conditional variance, we revisit the debate on the idiosyncratic risk-return relation. In both cross-sectional (for individual stocks) and time-series (for the market index) regressions, we find a negative relation between...

Using the 2002 Sarbanes-Oxley reform as an exogenous disclosure shock, we find that high, relative to low, volatility firms opt for lower levels of information availability pre reform and experience increases in information availability, CEO turnover-to-performance sensitivity, myopic behavior,...