The Information Content in Implied Idiosyncratic Volatility and the Cross-Section of Stock Returns: Evidence from the Option Markets PoorSatisfactoryGoodVery GoodExcellent Be the first. (0 ratings) Log in to rate this article. CFA Digest May 2009 | Vol. 39 | No. 2 | 2 pages Source: CFA InstituteDean Diavatopoulos James S. Doran David R. PetersonJohann U. de Villiers, CFA (Reviewer) Read Abstract The authors partition the implied volatilities from traded option prices into systematic and idiosyncratic components. Contrary to conventional asset-pricing theories, a strong relationship is found between implied idiosyncratic risk and subsequent share returns. This relationship suggests that implied idiosyncratic volatility should be a factor in pricing equities. View more information Topics Derivatives | Portfolio Management : Portfolio Concepts from Capital Market Theory | Risk Management : Portfolio Risk Management Credits · About the CE Program 0 CE (including 0 SER) Record credits Credits recorded Members, log in to record your credits. Manage CE Credits People who viewed this page also viewed: Top Hedge Fund Investors: Stories, Strategies, and Advice This book chronicles top hedge fund investors that played key roles in the industry, including substantial information on manager sourcing, ... More Credit Suisse Global Wealth Report The "Credit Suisse Global Wealth Report" is a comprehensive study of world wealth that analyzes the world’s entire 200 trillion ... More Credit Suisse Global Wealth Databook This Databook displays the detailed dataset backing the "Credit Suisse Global Wealth Report," the comprehensive study of world ... More Loading ...