Before revision:  Some of this excess correlation can be explained by quantifying the impact of shocks to aggregate volatility in the cross-section of expected returns---but only, it turns out, if one is extremely careful in accounting for the explosive nature of these shocks.
After revision:  Some of this excess correlation can be explained by quantifying the impact of shocks to aggregate volatility in the cross-section of expected returns - but only, it turns out, if one is extremely careful in accounting for the explosive nature of these shocks.