The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications

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What Is the Expected Return on a Stock? (2019, neutral): “This result echoes the ﬁnding of Herskovic et al. (2016) that idiosyncratic volatility (measured from past returns) exhibits a strong factor structure and that ﬁrms’ loadings on the common component predict equity returns.”
Uncertainty Shocks and Balance Sheet Recessions (2017, background): “The uncertainty shock has a positive price in the financial market, consistent with empirical evidence in Herskovic et al. (2015). In addition, uncertainty shocks affect the financial market.”
Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data (2017, background): “, Herskovic et al. (2016). This may reflect the increased signal-to-noise ratio from intraday data sampled at an appropriate frequency.”
The propagation of monetary policy shocks in a heterogeneous production economy (2018, background): “I/O linkages per se amplify the real effects of monetary policy, as in Nakamura and Steinsson (2008). However, heterogeneity in consumption shares and I/O linkages does not matter, because sectoral production and consumption shares do not produce wedges.”