While a number of explanations for the idiosyncratic volatility anomaly involve investor preferences, investor irrationality, or institutional settings, we decompose the idiosyncratic volatility into growth options and assets in place components. Our empirical results suggest that the growth options component cannot be diversified away; consequently, the idiosyncratic volatility anomaly is primarily driven by the effect of growth options on stock returns rather than that of assets in place. Our findings offer a novel perspective in explaining the idiosyncratic volatility anomaly.

中文翻译：

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异质波动率异常的新解释：资产分解视角

虽然对异质波动率异常的许多解释涉及投资者偏好、投资者非理性或机构设置，但我们将异质波动率分解为增长期权和资产到位成分。我们的实证结果表明，增长选择部分不能被分散掉；因此，特殊波动率异常主要是由增长期权对股票收益的影响而非现有资产的影响驱动的。我们的研究结果为解释特殊波动率异常提供了一个新的视角。