Need some advice from fenance bros. Huge literature on cross-section of stock returns. Any good source that helps one understand what explains cross section of volatility? For instance, risk factors versus characteristics? I seem to understand that idiosyncratic risk contributes a lot, and that it is easy to conflate effects of systematic and idiosyncratic risk when one looks at volatility. My question is whether SDF is expected to explain cross section of volatility?
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