研究期間：10208~10307;This proposal aims to disentangle the source of the recently recognized priced idiosyncratic volatility. We start with the toy model of mispricing as employed in Brennan and Wang (2010) by generalizing the framework to systematic risk factors. We specifically seek to perform a variance decomposition on the IV and examine how much proportionate can be explained by the mispricing over time. Taking these results as given, we then explore the empirical consequences for average returns.
