Aggregate Idiosyncratic Volatility
---- Acknowledgements -----
A previous version of this article circulated under the title “Is there a trend in idiosyncratic volatility?” We are very grateful to Tim Vogelsang who provided code for the linear time trend test. We have benefited from the comments of the referee and the editor (Stephen Brown) as well as from discussions with Lieven Baele, Ian Cooper, Rob Engle, Cheol Eun, Mardi Dungey, Chris Jones, Federico Nardari, Tim Simin, Geert Rouwenhorst, Tim Simin and from presentations at the AFA in San Francisco, the EFA in Bergen, Cornell, Rutgers, NYU, the Wharton International Finance Workshop, the Queen’s University International Finance Conference, University of Toronto, University of Washington, University of Colorado, Boston College, Purdue, University of Texas at Dallas, Indiana University, University of California at Riverside, University of Houston, and Hong Kong University of Science and Technology. The authors thank NETSPAR for financial support. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.