This is a summary of links featured on Quantocracy on Sunday, 10/29/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Dissecting the Idiosyncratic Volatility Puzzle [Alpha Architect]Idiosyncratic volatility (IVOL) is the volatility of a security that cannot be explained by overall market volatilityit is the risk unique to a particular security. IVOL contrasts with systematic risk, which is the risk that affects all securities in a market (such as changes in interest rates or inflation) and, therefore cannot be diversified away. On the other hand, the risks of high IVOL