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Citations for "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk"

by John Y. Campbell

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  1. Colm Kearney & Valerio Poti, 2005. "Correlation Dynamics in European Equity Markets," Finance, EconWPA 0507008, EconWPA.
  2. Li Jin & Stewart C. Myers, 2004. "R-Squared Around the World: New Theory and New Tests," NBER Working Papers 10453, National Bureau of Economic Research, Inc.
  3. Viral Acharya & Marco Pagano & Paolo Volpin, 2013. "Seeking Alpha - Excess Risk Taking and Competition for Managerial Talent," EIEF Working Papers Series 1303, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2013.
  4. Gregory Connor & Sheng Li, 2009. "Market Dispersion and the Profitability of Hedge Funds," Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth n2000109.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  5. James H. Stock & Mark W. Watson, 2003. "Has the business cycle changed?," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, Federal Reserve Bank of Kansas City, pages 9-56.
  6. Cheng, Shijun, 2008. "Board size and the variability of corporate performance," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(1), pages 157-176, January.
  7. Lundblad, Christian, 2007. "The risk return tradeoff in the long run: 1836-2003," Journal of Financial Economics, Elsevier, Elsevier, vol. 85(1), pages 123-150, July.
  8. Zura Kakushadze & Jim Kyung-Soo Liew, 2014. "Custom v. Standardized Risk Models," Papers 1409.2575, arXiv.org.
  9. Steven J. Davis & John Haltiwanger & Ron Jarmin & Javier Miranda, 2007. "Volatility and Dispersion in Business Growth Rates: Publicly Traded versus Privately Held Firms," NBER Chapters, in: NBER Macroeconomics Annual 2006, Volume 21, pages 107-180 National Bureau of Economic Research, Inc.
  10. Bartram, Sohnke M. & Brown, Gregory & Stulz, Rene M., 2011. "Why Are U.S. Stocks More Volatile?," Working Paper Series 2011-6, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  11. Gunter Loffler, 2004. "Implied asset value distributions," Applied Financial Economics, Taylor & Francis Journals, vol. 14(12), pages 875-883.
  12. Agarwal, Vikas & Daniel, Naveen D. & Naik, Narayan Y., 2009. "Do hedge funds manage their reported returns?," CFR Working Papers 07-09, University of Cologne, Centre for Financial Research (CFR).
  13. Chau, Frankie & Deesomsak, Rataporn & Wang, Jun, 2014. "Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 28(C), pages 1-19.
  14. Li JIN & Stewart C. MYERS, 2004. "R2 Around the World: New Theory and New Tests," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp158, International Center for Financial Asset Management and Engineering.
  15. Acharya, Viral V & Bisin, Alberto, 2002. "Entrepreneurial Incentives in Stock Market Economies," CEPR Discussion Papers 3474, C.E.P.R. Discussion Papers.
  16. Jeffrey R. Campbell & Jonas D.M. Fisher, 2000. "Idiosyncratic risk and aggregate employment dynamics," Working Paper Series, Federal Reserve Bank of Chicago WP-00-15, Federal Reserve Bank of Chicago.
  17. Barinov, Alexander, 2012. "Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle," Journal of Corporate Finance, Elsevier, Elsevier, vol. 18(4), pages 763-781.
  18. Vozlyublennaia, Nadia, 2013. "Do firm characteristics matter for the dynamics of idiosyncratic risk?," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 27(C), pages 35-46.
  19. Fossen, Frank M., 2012. "Risk attitudes and private business equity," Discussion Papers 2012/11, Free University Berlin, School of Business & Economics.
  20. Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis.
  21. Gianni De Nicoló & Myron L. Kwast, 2002. "Systemic Risk and Financial Consolidation," IMF Working Papers 02/55, International Monetary Fund.
  22. Larry G. Epstein & Martin Schneider, 2008. "Ambiguity, Information Quality, and Asset Pricing," Journal of Finance, American Finance Association, American Finance Association, vol. 63(1), pages 197-228, 02.
  23. Kallberg, Jarl & Pasquariello, Paolo, 2008. "Time-series and cross-sectional excess comovement in stock indexes," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(3), pages 481-502, June.
  24. Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2013. "Firm Volatility in Granular Networks," NBER Working Papers 19466, National Bureau of Economic Research, Inc.
  25. Nusret Cakici & Isil Erol & Dogan Tirtiroglu, 2014. "Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 48(3), pages 415-440, April.
  26. Namho Kang & Peter Kondor & Ronnie Sadka, 2012. "Do Hedge Funds Reduce Idiosyncratic Risk?," CEU Working Papers, Department of Economics, Central European University 2012_15, Department of Economics, Central European University, revised 04 Oct 2012.
  27. Michelle Lowry & Micah S. Officer & G. William Schwert, 2006. "The Variability of IPO Initial Returns," NBER Working Papers 12295, National Bureau of Economic Research, Inc.
  28. Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2003. "Financial Innovation, Market Participation and Asset Prices," NBER Working Papers 9840, National Bureau of Economic Research, Inc.
  29. Lorde, Troy & Jackman, Mahalia & Thomas, Chrystol, 2009. "The macroeconomic effects of oil price fluctuations on a small open oil-producing country: The case of Trinidad and Tobago," Energy Policy, Elsevier, vol. 37(7), pages 2708-2716, July.
  30. Jubinski, Daniel & Tomljanovich, Marc, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, Elsevier, Elsevier, vol. 22(3), pages 86-97.
  31. Oikawa, Koki, 2010. "Uncertainty-driven growth," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(5), pages 897-912, May.
  32. Yener Altunbas & Leonardo Gambacorta & David Marques-Ibanez, 2012. "Does monetary policy affect bank risk?," Working Papers 12002, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  33. repec:diw:diwfin:diwfin01050 is not listed on IDEAS
  34. Hilscher, Jens Dietrich & Campbell, John Y. & Szilagyi, Jan, 2011. "Predicting Financial Distress and the Performance of Distressed Stocks," Scholarly Articles 9887619, Harvard University Department of Economics.
  35. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2008. "Idiosyncratic volatility and equity returns: UK evidence," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 539-556, June.
  36. John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2006. "In Search of Distress Risk," NBER Working Papers 12362, National Bureau of Economic Research, Inc.
  37. Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns," Working Papers 416, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  38. Boehme, Rodney & Çolak, Gönül, 2012. "Primary market characteristics and secondary market frictions of stocks," Journal of Financial Markets, Elsevier, Elsevier, vol. 15(2), pages 286-327.
  39. Thesmar, David & Thoenig, Mathias, 2009. "Contrasting Trends in Firm Volatility: Theory and Evidence," CEPR Discussion Papers 7135, C.E.P.R. Discussion Papers.
  40. Baele, Lieven & Inghelbrecht, Koen, 2009. "Time-varying Integration and International diversification strategies," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(3), pages 368-387, June.
  41. Markus Baltzer & Lorenzo Cappiello & Roberto A. De Santis & Simone Manganelli, 2008. "Measuring financial integration in new EU member states," Occasional Paper Series 81, European Central Bank.
  42. Vozlyublennaia, Nadia & Meshcheryakov, Artem, 2014. "Dynamic correlation structure and security risk," Journal of Economics and Business, Elsevier, Elsevier, vol. 73(C), pages 48-64.
  43. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, HEC Paris.
  44. George-Marios Angeletos, 2005. "Uninsured Idiosyncratic Investment Risk," NBER Working Papers 11180, National Bureau of Economic Research, Inc.
  45. Robert M. Hunt & Leonard I. Nakamura, 2006. "The Democratization of U.S. Research and Development after 1980," 2006 Meeting Papers, Society for Economic Dynamics 121, Society for Economic Dynamics.
  46. Steve Satchell & Soosung Hwang, 2001. "GARCH Model with Cross-sectional Volatility; GARCHX Models," Working Papers, Warwick Business School, Finance Group wp01-16, Warwick Business School, Finance Group.
  47. Ehrmann, Michael & Fratzscher, Marcel, 2006. "Global financial transmission of monetary policy shocks," Working Paper Series 0616, European Central Bank.
  48. Nick Bloom & John Van Reenen & Stephen Bond, 2006. "Uncertainty and Investment Dynamics," NBER Working Papers 12383, National Bureau of Economic Research, Inc.
  49. Moshirian, Fariborz & Wu, Qiongbing, 2009. "Banking industry volatility and banking crises," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 19(2), pages 351-370, April.
  50. Bekaert, Geert & Hodrick, Robert J & Zhang, Xiaoyan, 2006. "International Stock Return Comovements," CEPR Discussion Papers 5955, C.E.P.R. Discussion Papers.
  51. Tobias J. Moskowitz & Annette Vissing-Jorgensen, 2002. "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?," NBER Working Papers 8876, National Bureau of Economic Research, Inc.
  52. Bali, Turan G. & Cakici, Nusret & Levy, Haim, 2008. "A model-independent measure of aggregate idiosyncratic risk," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(5), pages 878-896, December.
  53. Guiso, Luigi & Haliassos, Michalis & Jappelli, Tullio, 2003. "Household Stockholding in Europe: Where Do We Stand, and Where Do We Go?," CEPR Discussion Papers 3694, C.E.P.R. Discussion Papers.
  54. William Schwert, G., 2002. "Stock volatility in the new millennium: how wacky is Nasdaq?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 49(1), pages 3-26, January.
  55. Jiang, Danling, 2013. "The second moment matters! Cross-sectional dispersion of firm valuations and expected returns," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3974-3992.
  56. Davis, Steven J. & Faberman, R. Jason & Haltiwanger, John C., 2005. "The Flow Approach to Labor Markets: New Data Sources, Micro-Macro Links and the Recent Downturn," IZA Discussion Papers 1639, Institute for the Study of Labor (IZA).
  57. C. James Hueng & Ruey Yau, 2006. "Investor preferences and portfolio selection: is diversification an appropriate strategy?," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 6(3), pages 255-271.
  58. John C Bluedorn & Jörg Decressin & Marco Terrones, 2013. "Do Asset Price Drops Foreshadow Recessions?," IMF Working Papers 13/203, International Monetary Fund.
  59. Michelle L. Barnes & Anthony W. Hughes, 2002. "A quantile regression analysis of the cross section of stock market returns," Working Papers, Federal Reserve Bank of Boston 02-2, Federal Reserve Bank of Boston.
  60. CASTRO, Rui & CLEMENTI, Gian Luca & LEE, Yoonsoo, 2010. "Cross–Sectoral Variation in Firm–Level Idiosyncratic Risk," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2010-07, Universite de Montreal, Departement de sciences economiques.
  61. Rubin, Amir & Smith, Daniel R., 2011. "Comparing different explanations of the volatility trend," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1581-1597, June.
  62. Pérez Artica, Rodrigo & Brufman, Leandro & Martinez, Lisana, 2013. "What are the causes of the growing trend of excess savings of the corporate sector in developed countries? An empirical analysis of three hypotheses," MPRA Paper 47410, University Library of Munich, Germany.
  63. L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 04/217, Ghent University, Faculty of Economics and Business Administration.
  64. John Y. Campbell & Glen B. Taksler, 2003. "Equity Volatility and Corporate Bond Yields," Journal of Finance, American Finance Association, American Finance Association, vol. 58(6), pages 2321-2350, December.
  65. Opazo, Luis & Raddatz, Claudio & Schmukler, Sergio L., 2009. "The long and the short of emerging market debt," Policy Research Working Paper Series 5056, The World Bank.
  66. Jose Gonzalo Rangel & Robert F. Engle, 2009. "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," Working Papers 2009-03, Banco de México.
  67. Beltratti, A. & Morana, C., 2006. "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 151-177.
  68. Shynkevich, Andrei, 2013. "Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency," Journal of Economics and Business, Elsevier, Elsevier, vol. 69(C), pages 64-85.
  69. Sequeira, John M. & Lan, Dong, 2003. "Does world-level volatility matter for the average firm in a global equity market?," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 13(4-5), pages 341-357, December.
  70. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
  71. Colm Kearney & Valerio Poti, 2006. "Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area," The Institute for International Integration Studies Discussion Paper Series iiisdp132, IIIS.
  72. Hvide, Hans K & Panos, Georgios, 2013. "Risk tolerance and entrepreneurship," CEPR Discussion Papers 9339, C.E.P.R. Discussion Papers.
  73. Marcelle Chauvet & Zeynep Senyuz & Emre Yoldas, 2012. "What does financial volatility tell us about macroeconomic fluctuations?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2012-09, Board of Governors of the Federal Reserve System (U.S.).
  74. Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in a DSGE model for the U.S," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(9), pages 1700-1731, September.
  75. Hui Guo & Jason Higbee, 2006. "Market timing with aggregate and idiosyncratic stock volatilities," Working Papers 2005-073, Federal Reserve Bank of St. Louis.
  76. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," CESifo Working Paper Series 4736, CESifo Group Munich.
  77. Vidal-García, Javier & Vidal, Marta, 2014. "Seasonality and idiosyncratic risk in mutual fund performance," European Journal of Operational Research, Elsevier, Elsevier, vol. 233(3), pages 613-624.
  78. John M. Maheu & Thomas H. McCurdy, 2004. "News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 59(2), pages 755-793, 04.
  79. Junttila, Juha & Korhonen, Marko, 2011. "Utilizing financial market information in forecasting real growth, inflation and real exchange rate," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 281-301, April.
  80. Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2009. "Why Do Foreign Firms Have Less Idiosyncratic Risk than U.S. Firms?," NBER Working Papers 14931, National Bureau of Economic Research, Inc.
  81. Steven J. Davis & James A. Kahn, 2008. "Interpreting the Great Moderation: Changes in the Volatility of Economic Activity at the Macro and Micro Levels," Journal of Economic Perspectives, American Economic Association, vol. 22(4), pages 155-80, Fall.
  82. Rubin, Amir & Smith, Daniel R., 2009. "Institutional ownership, volatility and dividends," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 627-639, April.
  83. Gündüz, Yalin & Kaya, Orcun, 2013. "Sovereign default swap market efficiency and country risk in the eurozone," Discussion Papers 08/2013, Deutsche Bundesbank, Research Centre.
  84. Colm Kearney & Valerio Poti, 2004. "Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp015, IIIS.
  85. Bowden, Mark P., 2012. "Information contagion within small worlds and changes in kurtosis and volatility in financial prices," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(2), pages 553-566.
  86. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance, EconWPA 0511005, EconWPA.
  87. Katya Kartashova, 2014. "Improving Public Equity Markets? No Pain, No Gain," Working Papers 14-41, Bank of Canada.
  88. Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2003. "Firm-Specific Variation and Openness in Emerging Markets," William Davidson Institute Working Papers Series 2003-623, William Davidson Institute at the University of Michigan.
  89. John Clapp & Katsiaryna Bardos & Tingyu Zhou, 2014. "Expansions and Contractions of Major US Shopping Centers," The Journal of Real Estate Finance and Economics, Springer, vol. 48(1), pages 16-56, January.
  90. Hui Guo, 2006. "On the Out-of-Sample Predictability of Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 79(2), pages 645-670, March.
  91. Pietro Veronesi & Lubos Pastor, 2005. "Was There a Nasdaq Bubble in the Late 1990s?," 2005 Meeting Papers 95, Society for Economic Dynamics.
  92. Michael E. Drew & Mirela Mallin & Tony Naughton & Madhu Veeraraghavan, 2004. "Equity Premium: - Does it exist? Evidence from Germany and United Kingdom," School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology 170, School of Economics and Finance, Queensland University of Technology.
  93. Francesco Vallascas & Kevin Keasey, 2013. "The Volatility of European Banking Systems: A Two-Decade Study," Journal of Financial Services Research, Springer, vol. 43(1), pages 37-68, February.
  94. Walter Boudry & N. Coulson & Jarl Kallberg & Crocker Liu, 2012. "On the Hybrid Nature of REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 230-249, January.
  95. Bartram, Sohnke M. & Karolyi, G. Andrew, 2004. "The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures," Working Paper Series 2005-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  96. Serguey Khovansky & Zhylyevskyy, Oleksandr, 2012. "Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns," Staff General Research Papers 34990, Iowa State University, Department of Economics.
  97. Marcelo, José Luis Miralles & Quirós, José Luis Miralles & Martins, José Luís, 2013. "The role of country and industry factors during volatile times," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 26(C), pages 273-290.
  98. Hui Guo & Robert Savickas, 2006. "Understanding stock return predictability," Working Papers 2006-019, Federal Reserve Bank of St. Louis.
  99. Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 3775, London School of Economics and Political Science, LSE Library.
  100. Hui Guo & Robert Whitelaw, 2005. "Uncovering the risk-return relation in the stock market," Working Papers 2001-001, Federal Reserve Bank of St. Louis.
  101. Chris Edmond & Pierre-Olivier Weill, 2011. "Aggregate Implications of Micro Asset Market Segmentation," Department of Economics - Working Papers Series, The University of Melbourne 1117, The University of Melbourne.
  102. Umutlu, M. & Akdeniz, L. & Salih, A.A., 2009. "The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets," Discussion Paper, Tilburg University, Center for Economic Research 2009-67, Tilburg University, Center for Economic Research.
  103. Abugri, Benjamin A. & Dutta, Sandip, 2014. "Are we overestimating REIT idiosyncratic risk? Analysis of pricing effects and persistence," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 249-259.
  104. Kaltenhäuser, Bernd, 2002. "Return and volatility spillovers to industry returns: Does EMU play a role?," CFS Working Paper Series 2002/05, Center for Financial Studies (CFS).
  105. Daniel Jubinski & Amy F. Lipton, 2012. "Equity volatility, bond yields, and yield spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(5), pages 480-503, 05.
  106. Haq, Mamiza & Heaney, Richard, 2009. "European bank equity risk: 1995-2006," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 19(2), pages 274-288, April.
  107. Nartea, Gilbert V. & Wu, Ji & Liu, Zhentao, 2013. "Does idiosyncratic volatility matter in emerging markets? Evidence from China," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 27(C), pages 137-160.
  108. Benhima Kenza, 2010. "A Reappraisal of the Allocation Puzzle through the Portfolio Approach," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP), Université de Lausanne, Faculté des HEC, DEEP 10.11, Université de Lausanne, Faculté des HEC, DEEP, revised May 2012.
  109. Kingsley Fong & David R. Gallagher & Aaron Ng, 2005. "The Use of Derivatives by Investment Managers and Implications for Portfolio Performance and Risk-super-," International Review of Finance, International Review of Finance Ltd., vol. 5(1-2), pages 1-29.
  110. Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, Elsevier, vol. 146(1), pages 10-25, September.
  111. Naomi N. Griffin, 2007. "Assessing the Relationship between Economic Stability and Dynamic Employment Responses to Aggregate Shocks: Working Paper 2007-04," Working Papers 18422, Congressional Budget Office.
  112. Samaniego, Roberto M., 2008. "Can technical change exacerbate the effects of labor market sclerosis," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(2), pages 497-528, February.
  113. Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005. "Comovement," Journal of Financial Economics, Elsevier, Elsevier, vol. 75(2), pages 283-317, February.
  114. Liow, Kim Hiang & Addae-Dapaah, Kwame, 2010. "Idiosyncratic risk, market risk and correlation dynamics in the US real estate investment trusts," Journal of Housing Economics, Elsevier, Elsevier, vol. 19(3), pages 205-218, September.
  115. Andrew Ang & Joseph Chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc.
  116. Jennie Bai, 2012. "Have Financial Markets Become More Informative?," 2012 Meeting Papers, Society for Economic Dynamics 1193, Society for Economic Dynamics.
  117. Hui Guo, 2002. "Why are stock market returns correlated with future economic activities?," Review, Federal Reserve Bank of St. Louis, issue Mar., pages 19-34.
  118. Yasushi Hamao & Jianping Mei & Yexiao Xu, 2003. "Idiosyncratic Risk and the Creative Destruction in Japan," NBER Working Papers 9642, National Bureau of Economic Research, Inc.
  119. Katja Drechsel & Rolf Scheufele, 2010. "Should We Trust in Leading Indicators? Evidence from the Recent Recession," IWH Discussion Papers, Halle Institute for Economic Research 10, Halle Institute for Economic Research.
  120. Helios Herrera, 2005. "Sorting in Risk-Aversion and Asset Price Volatility," Levine's Bibliography 172782000000000083, UCLA Department of Economics.
  121. Walkshäusl, Christian, 2014. "The MAX effect: European evidence," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 1-10.
  122. George-Marios Angeletos & Laurent E. Calvet, 2002. "Idiosyncratic Production Risk, Growth and the Business Cycle," Harvard Institute of Economic Research Working Papers 1952, Harvard - Institute of Economic Research.
  123. Gary Gorton & Ping He, 2006. "Agency-Based Asset Pricing," NBER Working Papers 12084, National Bureau of Economic Research, Inc.
  124. Bai, Ye & Green, Christopher J., 2010. "International diversification strategies: Revisited from the risk perspective," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 236-245, January.
  125. Hui Guo & Robert Savickas, 2003. "On the cross section of conditionally expected stock returns," Working Papers 2003-043, Federal Reserve Bank of St. Louis.
  126. Drechsel, Katja & Scheufele, Rolf, 2012. "The performance of short-term forecasts of the German economy before and during the 2008/2009 recession," International Journal of Forecasting, Elsevier, Elsevier, vol. 28(2), pages 428-445.
  127. Rossi, Francesco, 2011. "Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates," MPRA Paper 38682, University Library of Munich, Germany, revised 31 Mar 2012.
  128. Rui Castro & Gian Luca Clementi & Glenn MacDonald, 2004. "Legal Institutions, Sectoral Heterogeneity, and Economic Development," 2004 Meeting Papers 162, Society for Economic Dynamics.
  129. Baele, Lieven & De Jonghe, Olivier & Vander Vennet, Rudi, 2007. "Does the stock market value bank diversification?," Journal of Banking & Finance, Elsevier, vol. 31(7), pages 1999-2023, July.
  130. Jose Faias & Miguel Ferreira & Pedro Santa-Clara & Pedro Matos, 2011. "Does Institutional Ownership Matter for International Stock Return Comovement?," EcoMod2011 3038, EcoMod.
  131. Gerard Hoberg & Gordon Phillips, 2010. "Real and Financial Industry Booms and Busts," Journal of Finance, American Finance Association, American Finance Association, vol. 65(1), pages 45-86, 02.
  132. Hornstein, Andreas & Krusell, Per & Violante, Giovanni L, 2005. "The Effects of Technical Change on Labour Market Inequalities," CEPR Discussion Papers 5025, C.E.P.R. Discussion Papers.
  133. Schürhoff, Norman & Ziegler, Alexandre, 2011. "Variance risk, financial intermediation, and the cross-section of expected option returns," CEPR Discussion Papers 8268, C.E.P.R. Discussion Papers.
  134. Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander, 2013. "Anomalies and financial distress," Journal of Financial Economics, Elsevier, Elsevier, vol. 108(1), pages 139-159.
  135. Mohamed Saidane & Christian Lavergne, 2007. "A structured variational learning approach for switching latent factor models," AStA Advances in Statistical Analysis, Springer, vol. 91(3), pages 245-268, October.
  136. Farzan Aminian & E. Suarez & Mehran Aminian & Daniel Walz, 2006. "Forecasting Economic Data with Neural Networks," Computational Economics, Society for Computational Economics, vol. 28(1), pages 71-88, August.
  137. Karin Joeveer, 2005. "What Do We Know about the Capital Structure of Small Firms?," CERGE-EI Working Papers wp283, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  138. Bank for International Settlements, 2006. "The recent behaviour of financial market volatility," BIS Papers, Bank for International Settlements, number 29.
  139. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, Elsevier, vol. 63(3), pages 443-494, March.
  140. Mike Dempsey & Michael E. Drew & Madhu Veeraraghavan, 2001. "Idiosyncratic Risk And Australian Equity Returns," School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology 096, School of Economics and Finance, Queensland University of Technology.
  141. Diego A. Comin & Thomas Philippon, 2006. "The Rise in Firm-Level Volatility: Causes and Consequences," NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 167-228 National Bureau of Economic Research, Inc.
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