NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Robert F. Stambaugh, Jianfeng Yu, Yu Yuan

NBER Working Paper No. 18560
Issued in November 2012

---- Acknowledgements -----

We are grateful for helpful comments from Lubos Pastor and seminar participants at the University of Minnesota, University of Oxford, University of Toronto, and the Shanghai Advanced Institute of Finance. We also thank Edmund Lee and Jianan Liu for excellent research assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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