标题：Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
汇报人：Jianfeng Yu,（The Carlson School of Management, University of Minnesota）
功夫：July 8, 2013 (Monday）AM10:00---11:30
地址:Room 217, Guanghua Building #2
Abstract：
Short selling, as compared to purchasing, faces greater risks and other potential
impediments. This arbitrage asymmetry explains the negative relation between idiosyncratic volatility (IVOL) and average return. The IVOL effect is negative among
overpriced stocks but positive among underpriced stocks, with mispricing determined
by combining 11 return anomalies. The negative effect is stronger, consistent with
asymmetry in risks and other impediments inhibiting arbitrageurs in exploiting mispricing.
Aggregating across all stocks therefore yields a negative relation, explaining
the IVOL puzzle. Further supporting our explanation is a negative relation over time
between the IVOL effect and investor sentiment, especially among overpriced stocks.
