The International Commonality of Idiosyncratic Variances

The authors thank the editor, Kay Giesecke, an anonymous associate editor, and an anonymous referee for their comments. The authors also thank Bernard Herskovic, Anna Lopatnikova, Lubos Pastor, Steven J. Riddiough, Stijn Van Nieuwerburgh, Pietro Veronesi, Xintong Zhan, and seminar participants at the American Finance Association Annual Meeting, the Australasian Finance and Banking Conference, the Chinese Finance Annual Meeting, the Finance Down Under Conference, Nankai University, and Tsinghua University for helpful comments.