@article{herskovic2016common,
  title={The common factor in idiosyncratic volatility: Quantitative asset pricing implications},
  author={Herskovic, Bernard and Kelly, Bryan and Lustig, Hanno and {Van Nieuwerburgh}, Stijn},
  journal={Journal of Financial Economics},
  volume={119},
  number={2},
  pages={249--283},
  year={2016},
  publisher={Elsevier}
}