We examine how volatility risk, both at the aggregate market and individual stock level, is priced in the cross-section of expected stock returns. Stocks that h

The paper shows that the value effect and the idiosyncratic volatility (IVol) discount (Ang et al., 2006) arise because growth firms and high IVol firms beat th

This paper examines the cross-sectional relation between idiosyncratic volatility and expected stock returns. The results indicate that (i) data frequency used