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Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio

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Cited by:

  1. Tariq Aziz & Valeed Ahmad Ansari, 2017. "Idiosyncratic volatility and stock returns: Indian evidence," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1420998-142, January.
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  3. M. Reza Bradrania & Maurice Peat & Stephen Satchell, 2022. "Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns," Papers 2211.04695, arXiv.org.
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  7. Jun Tong & Jian-Qiang Hu & Jianxin You, 2019. "Asynchronous Algorithms for Computing Equilibrium Prices in a Capital Asset Pricing Model," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 36(05), pages 1-17, October.
  8. Vidal-García, Javier & Vidal, Marta, 2014. "Seasonality and idiosyncratic risk in mutual fund performance," European Journal of Operational Research, Elsevier, vol. 233(3), pages 613-624.
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  10. Bouslah, Kais & Kryzanowski, Lawrence & M’Zali, Bouchra, 2013. "The impact of the dimensions of social performance on firm risk," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1258-1273.
  11. Núñez-Nickel, Manuel & Cano Rodríguez, Manuel, 2002. "Las tres caras del riesgo estratégico: riesgo sistemático, riesgo táctico y riesgo idiosincrásico," DEE - Documentos de Trabajo. Economía de la Empresa. DB db021508, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
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  18. Bergbrant, Mikael & Kassa, Haimanot, 2021. "Is idiosyncratic volatility related to returns? Evidence from a subset of firms with quality idiosyncratic volatility estimates," Journal of Banking & Finance, Elsevier, vol. 127(C).
  19. Zhaobo Zhu & Wenjie Ding & Yi Jin & Dehua Shen, 2023. "Dissecting the Idiosyncratic Volatility Puzzle: A Fundamental Analysis Approach," Post-Print hal-04194180, HAL.
  20. Kapteyn, Arie & Teppa, Federica, 2011. "Subjective measures of risk aversion, fixed costs, and portfolio choice," Journal of Economic Psychology, Elsevier, vol. 32(4), pages 564-580, August.
  21. Garcia, René & Mantilla-García, Daniel & Martellini, Lionel, 2014. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1133-1165, December.
  22. 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.
  23. Bo Li & Sabri Boubaker & Zhenya Liu & Waël Louhichi & Yao Yao, 2023. "Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 527-559, August.
  24. Jyri Kinnunen & Minna Martikainen, 2017. "Expected Returns and Idiosyncratic Risk: Industry-Level Evidence from Russia," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(11), pages 2528-2544, November.
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  26. Rajnish Mehra & Sunil Wahal & Daruo Xie, 2021. "Is idiosyncratic risk conditionally priced?," Quantitative Economics, Econometric Society, vol. 12(2), pages 625-646, May.
  27. Vo, Xuan Vinh, 2010. "Foreign ownership in Vietnam stock markets - an empirical analysis," MPRA Paper 29863, University Library of Munich, Germany, revised 10 Jan 2011.
  28. Sharpe, William F, 1991. "Capital Asset Prices with and without Negative Holdings," Journal of Finance, American Finance Association, vol. 46(2), pages 489-509, June.
  29. Serguey Khovansky & Zhylyevskyy, Oleksandr, 2012. "Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns," Staff General Research Papers Archive 34990, Iowa State University, Department of Economics.
  30. 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.
  31. Hui Guo & Robert Savickas, 2003. "Does idiosyncratic risk matter: another look," Working Papers 2003-025, Federal Reserve Bank of St. Louis.
  32. Huang, Chia-Wei & Ho, Po-Hsin & Lin, Chih-Yung & Yen, Ju-Fang, 2014. "Firm age, idiosyncratic risk, and long-run SEO underperformance," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 246-266.
  33. Post, G.T., 2003. "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," ERIM Report Series Research in Management ERS-2003-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  34. Abad, Pilar & Robles, M. Dolores, 2014. "Credit rating agencies and idiosyncratic risk: Is there a linkage? Evidence from the Spanish Market," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 152-171.
  35. Hui Guo & Jason Higbee, 2006. "Market timing with aggregate and idiosyncratic stock volatilities," Working Papers 2005-073, Federal Reserve Bank of St. Louis.
  36. Barry, Peter J. & Collins, Robert A., 1986. "Applications Of Capm Concepts To Investment Analysis Under Risk," Regional Research Projects > 1986: S-180 Annual Meeting, March 23-26, 1986, Tampa, Florida 271820, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
  37. Bali, Turan G. & Cakici, Nusret & Levy, Haim, 2008. "A model-independent measure of aggregate idiosyncratic risk," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 878-896, December.
  38. Mervyn A. King & Jonathan I. Leape, 1984. "Wealth and Portfolio Composition: Theory and Evidence," NBER Working Papers 1468, National Bureau of Economic Research, Inc.
  39. Ayadi, Mohamed A. & Cao, Xu & Lazrak, Skander & Wang, Yan, 2019. "Do idiosyncratic skewness and kurtosis really matter?," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  40. King, Mervyn A. & Leape, Jonathan I., 1998. "Wealth and portfolio composition: Theory and evidence," Journal of Public Economics, Elsevier, vol. 69(2), pages 155-193, June.
  41. Brian Silverstein, 2021. "Defined benefit pension de‐risking and corporate risk‐taking," Financial Management, Financial Management Association International, vol. 50(4), pages 1085-1111, December.
  42. repec:bof:bofitp:urn:nbn:fi:bof-201511231444 is not listed on IDEAS
  43. 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, vol. 27(C), pages 137-160.
  44. Harmindar B. Nath & Vasilis Sarafidis, 2017. "Does persistence in idiosyncratic risk proxy return-reversals?," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(8), pages 27-53, October.
  45. Deligonul, Seyda Z., 2020. "Multinational country risk: Exposure to asset holding risk and operating risk in international business," Journal of World Business, Elsevier, vol. 55(2).
  46. Moshe Levy, 2012. "On the Spurious Correlation Between Sample Betas and Mean Returns," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(4), pages 341-360, September.
  47. Ali, Syed Riaz Mahmood & Hasan, Mohammad Nurul & Östermark, Ralf, 2020. "Are idiosyncratic risk and extreme positive return priced in the Indian equity market?," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 530-545.
  48. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
  49. Guo, Hui & Qiu, Buhui, 2014. "Options-implied variance and future stock returns," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 93-113.
  50. Lorne Switzer & Alan Picard, 2015. "Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 19(3), pages 169-221, September.
  51. Benoit Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The political reception of innovations," Cahiers de recherche 2107, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  52. Post, Thierry & van Vliet, Pim & Levy, Haim, 2008. "Risk aversion and skewness preference," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1178-1187, July.
  53. Liu, Shengnan & Kong, Ao & Gu, Rongbao & Guo, Wenjing, 2019. "Does idiosyncratic volatility matter? — Evidence from Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 393-401.
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  55. Ronald C. Anderson & Mikael C. Bergbrant & Delroy M. Hunter & David M. Reeb, 2023. "Are founding families less willing to bear risk? Evidence from the currency exposure and internationalization strategy of family firms," Financial Management, Financial Management Association International, vol. 52(1), pages 41-66, March.
  56. Son, Nguyen Truong & Nguyen, Nhat Minh, 2019. "Prospect theory value and idiosyncratic volatility: Evidence from the Korean stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 21(C), pages 113-122.
  57. Hagemeister, Meike & Kempf, Alexander, 2007. "CAPM und erwartete Renditen: Eine Untersuchung auf Basis der Erwartung von Marktteilnehmern," CFR Working Papers 07-01, University of Cologne, Centre for Financial Research (CFR).
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