Abstract We develop an arbitrage pricing theory framework extension to study the pricing of squared returns/volatilities. We analyze the interplay between factors at the return level and those in idiosyncratic variances. We confirm the presence of a common idiosyncratic variance factor, but do not find evidence that this represents a missing risk factor at the (linear) return level. Thereby, we consistently identify idiosyncratic returns. The price of the idiosyncratic variance factor identified by squared returns is small relative to the price of market variance risk. The quadratic pricing kernels induced by our model are in line with standard economic intuition.

中文翻译：

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异质方差因子的套利定价理论

摘要我们开发了套利定价理论框架扩展来研究平方收益/波动率的定价。我们分析了回报水平因素与异质方差因素之间的相互作用。我们确认了一个共同的异质方差因子的存在，但没有发现证据表明这代表了（线性）回报水平上缺失的风险因子。因此，我们始终如一地识别特殊回报。由平方收益确定的异质方差因子的价格相对于市场方差风险的价格较小。我们的模型引入的二次定价内核符合标准的经济直觉。