Stock returns driven by market-wide factors, not individual company effects.
The study looked at how stock returns are related to changes in expected stock volatility. They found that the relationship between stock returns and changes in overall market volatility is mostly negative, while the relationship with changes in individual stock volatility is close to zero. This suggests that market-wide factors play a bigger role in causing asymmetric volatility than individual company factors. The researchers also found that changes in expected stock volatility can be accurately represented by changes in implied volatility from options.