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Han, Y. and Lesmond, D. (2011) Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility. The Review of Financial Studies, 24, 1590-1629.
https://doi.org/10.1093/rfs/hhq140

has been cited by the following article:

• TITLE: The Idiosyncratic Volatility Puzzle: A Time-Specific Anomaly

  AUTHORS: Xindong Zhang, Jianying Li, Xiaoli Wang, Xiaoxin Hu

  KEYWORDS: Idiosyncratic Volatility Puzzle, Out-of-Sample Test, Data Snooping Bias, Short-Term Return Reversals

  JOURNAL NAME: Journal of Mathematical Finance, Vol.11 No.2, May 31, 2021

  ABSTRACT: Given the availability of daily data over 1926-1962, it is surprising that there is no research examining the idiosyncratic volatility (IV) puzzle over this early period. This paper conducts an out-of-sample test on the IV phenomenon. We find that the negative relation between IV and expected returns only exists during the period 07/1963-12/1989, implying that the puzzle may be a result of data snooping bias. The result on time-special anomaly is robust for different sorting breakpoints and alternative measure of idiosyncratic volatility. Infrequent trading cannot account for the low average returns of stocks with high idiosyncratic volatility. With a striking contrast, the involving of short-term return reversals eliminates this dilemma.