---
title: Volatility & Expected Returns: Then & Now
url: https://www.ml-quant.com/papers/repec/now-jnlcfr-104-00000125/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:now:jnlcfr:104.00000125
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fdx.doi.org%2F10.1561%2F104.00000125%3Bh%3Drepec%3Anow%3Ajnlcfr%3A104.00000125
featured: 2023-08-17
citations: unknown
topic: Derivatives & Volatility
---


# Volatility & Expected Returns: Then & Now

Then & Now: The research confirms previous findings on the impact of aggregate-volatility risk and idiosyncratic volatility on stock returns, and suggests that recent asset-pricing models don't consistently account for these factors, except for the models by Stambaugh and Yuan, and Barillas and Shanken.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fdx.doi.org%2F10.1561%2F104.00000125%3Bh%3Drepec%3Anow%3Ajnlcfr%3A104.00000125
- Identifier: RePEc:now:jnlcfr:104.00000125
- Released: 2023-08-17
- First featured: Quant Letter No. 12 (2023-08-17): https://www.ml-quant.com/issues/2023-08-17/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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