Co-authored by Zhang Xiaoyan, Xinyuan Professor of Finance and Associate Dean at PBCSF, and Geert Bekaert, Robert Hodrick, Xue Wang, the thesis titled The International Commonality of Idiosyncratic Variances won the BlackRock Prize at the 32^nd Australasian Finance and Banking Conference(AFBC). The AFBC is organized by the Institute of Global Finance and the School of Banking and Finance, UNSW Business School. It is the most significant and prestigious finance conference in the Asia-Pacific region. The BlackRock Prize is awarded to the best paper presented on Capital Markets / Funds Management / Mutual Funds.

Idiosyncratic variances is the variance of the stock yield which cannot be captured by systematic risks. The International Commonality of Idiosyncratic Variances studied the idiosyncratic variances in 23 developed countries and regions. The study shows that the total idiosyncratic variances in the different market shows outstanding co-relations. During the time scale, the figures shows a positive co-relation and Inverse periodicity. Considering the idiosyncratic variances is outside systematic risks, the conclusion is very surprising. To explain the co-relation, the thesis built a theoretic pricing model and found that the idiosyncratic cash flow could explain the phenomena. Other than that, the International Commonality of idiosyncratic variances also relates to the variance that measures discount rate, volatility and growth opportunity.

Different from most studies, the thesis finds and explains the consistency and time trend of idiosyncratic variances, providing a new direction of future theory and practical study.