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Idiosyncratic Cash Flows and Systematic Risk

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  • ILONA BABENKO
  • OLIVER BOGUTH
  • YURI TSERLUKEVICH

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  • Ilona Babenko & Oliver Boguth & Yuri Tserlukevich, 2016. "Idiosyncratic Cash Flows and Systematic Risk," Journal of Finance, American Finance Association, vol. 71(1), pages 425-456, February.
    • Handle: RePEc:bla:jfinan:v:71:y:2016:i:1:p:425-456
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    File URL: http://hdl.handle.net/10.1111/jofi.2016.71.issue-1
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    Cited by:

    1. Ippolito, Filippo & Ozdagli, Ali K. & Perez-Orive, Ander, 2018. "The transmission of monetary policy through bank lending: The floating rate channel," Journal of Monetary Economics, Elsevier, vol. 95(C), pages 49-71.
    2. Chaderina, Maria & Weiss, Patrick & Zechner, Josef, 2022. "The maturity premium," Journal of Financial Economics, Elsevier, vol. 144(2), pages 670-694.
    3. Herskovic, Bernard & Kind, Thilo & Kung, Howard, 2023. "Micro uncertainty and asset prices," Journal of Financial Economics, Elsevier, vol. 149(1), pages 27-51.
    4. Javier Vidal-García & Marta Vidal & Sabri Boubaker & Riadh Manita, 2019. "Idiosyncratic risk and mutual fund performance," Annals of Operations Research, Springer, vol. 281(1), pages 349-372, October.
    5. Stanislav Bozhkov & Habin Lee & Uthayasankar Sivarajah & Stella Despoudi & Monomita Nandy, 2020. "Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility," Annals of Operations Research, Springer, vol. 294(1), pages 419-452, November.
    6. Chung, Kee H. & Wang, Junbo & Wu, Chunchi, 2019. "Volatility and the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, vol. 133(2), pages 397-417.
    7. Narongdech Thakerngkiat & Hung T. Nguyen & Nhut H. Nguyen & Nuttawat Visaltanachoti, 2021. "Do accounting information and market environment matter for cross‐asset predictability?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4389-4434, September.
    8. Léopold Djoutsa Wamba & Jean‐Michel Sahut & Eric Braune & Frédéric Teulon, 2020. "Does the optimization of a company's environmental performance reduce its systematic risk? New evidence from European listed companies," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 27(4), pages 1677-1694, July.
    9. Yunting Liu, 2022. "The Short-Run and Long-Run Components of Idiosyncratic Volatility and Stock Returns," Management Science, INFORMS, vol. 68(2), pages 1573-1589, February.
    10. Hwang, Soosung & Rubesam, Alexandre & Salmon, Mark, 2021. "Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly," Journal of International Money and Finance, Elsevier, vol. 111(C).
    11. Pae, Yuntaek & Bae, Sung C. & Lee, Namhoon, 2018. "Idiosyncratic volatility and cash flow volatility: New evidence from S&P 500," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 127-135.
    12. Zhiyao Chen & Ilya A. Strebulaev & Yuhang Xing & Xiaoyan Zhang, 2021. "Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle: An Empirical Investigation," Management Science, INFORMS, vol. 67(5), pages 2751-2772, May.
    13. Choi, Kyoung Jin & Kwak, Minsuk & Shim, Gyoocheol, 2017. "Time preference and real investment," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 18-33.
    14. Andrea Gamba & Alessio Saretto, 2020. "Growth Options and Credit Risk," Management Science, INFORMS, vol. 66(9), pages 4269-4291, September.
    15. Xuejing Xing & Shan Yan, 2019. "Accounting information quality and systematic risk," Review of Quantitative Finance and Accounting, Springer, vol. 52(1), pages 85-103, January.

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