... negatively correlated with idiosyncratic volatility. Controlling for the idiosyncratic volatility effect renders the Comove effect insignificant, but not vice versa. For example, after controlling for the idiosyncratic volatility effect, the long-short Comove portfolio’s monthly alpha falls...

..., Gharghori, and Zhong and by Leippold and Svaton, and we present volatility estimates through the end of 2021, significantly extending the period covered in our original paper as well as the two replication studies. After spiking in the 1999 to 2000 period, idiosyncratic volatility declined thereafter...

...Mardy Chiah; Philip Gharghori; Angel Zhong This study successfully replicates the key findings of Campbell et al. (2001) . We document that aggregate idiosyncratic volatility increases over their sample period from 1962 to 1997. In out-of-sample analysis from 1926 to 1962 and 1998 to 2017...

...Seongkyu Gilbert Park; K. C. John Wei; Linti Zhang Expected idiosyncratic volatility (IVOL) and its positive relation to expected returns of Fu (2009 ) can be closely replicated,but only when we include information up to time t to estimate the IVOL at time t. Since this involves...

...Markus Leippold; Michal Svatoň We reexamine the existence of an upward trend in the idiosyncratic volatility (IV) of US-listed stocks between 1962 and 2000 documented in Campbell et al. (2001 ). Following the same methodology as in their paper, we confirm the upward trend...

...Chaehyun Pyun My paper investigates in which periods the idiosyncratic volatility anomaly is observable, and the trend in recent years. It uses a graphical methodology that allows the reader to assess the effects of different starting and ending months. Plots for the value-weighted portfolio show...