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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. Harald Hau, 2006. "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," Journal of the European Economic Association, MIT Press, vol. 4(4), pages 862-890, 06.
  2. Mehmet Balcilar & Rangan Gupta & Mark E. Wohar, 2015. "Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data," Working Papers 201572, University of Pretoria, Department of Economics.
  3. Zura Kakushadze, 2014. "Russian-Doll Risk Models," Papers 1412.4342, arXiv.org, revised Jul 2015.
  4. Barney Hartman-Glaser & Hanno Lustig & Mindy X. Zhang, 2016. "Capital Share Dynamics When Firms Insure Managers," NBER Working Papers 22651, National Bureau of Economic Research, Inc.
  5. Gregory Birg & Brian M. Lucey, 2006. "Integration Of Smaller European Equity Markets : A Time-Varying Integration Score Analysis," The Institute for International Integration Studies Discussion Paper Series iiisdp136, IIIS.
  6. Gil-Alana, Luis A. & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2014. "On the persistence and volatility in European, American and Asian stocks bull and bear markets," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 149-162.
  7. Charfeddine, Lanouar & Najah, Ahlem & Teulon, Frédéric, 2016. "Socially responsible investing and Islamic funds: New perspectives for portfolio allocation," Research in International Business and Finance, Elsevier, vol. 36(C), pages 351-361.
  8. Soosung Hwang & Steve Satchell, 2005. "GARCH model with cross-sectional volatility: GARCHX models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(3), pages 203-216.
  9. 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.
  10. Vozlyublennaia, Nadia, 2011. "The cross-section of dynamics in idiosyncratic risk," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 461-473, June.
  11. Alexeev, Vitali & Tapon, Francis, 2013. "Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets," Working Papers 2013-16, University of Tasmania, Tasmanian School of Business and Economics, revised 20 Nov 2013.
  12. Bluedorn, John C. & Decressin, Jörg & Terrones, Marco E., 2016. "Do asset price drops foreshadow recessions?," International Journal of Forecasting, Elsevier, vol. 32(2), pages 518-526.
  13. Gregory R. Duffee, 2001. "Asymmetric cross-sectional dispersion in stock returns: evidence and implications," Working Paper Series 2000-18, Federal Reserve Bank of San Francisco.
  14. Stanislav Radchenko, 2004. "Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases," Industrial Organization 0408001, EconWPA.
  15. Chong, Terence Tai Leung & Lin, Shiyu, 2015. "Predictive Models for Disaggregate Stock Market Volatility," MPRA Paper 68460, University Library of Munich, Germany.
  16. 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.
  17. 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.
  18. Chun-Hung Chen & Wei-Choun Yu & Eric Zivot, 2009. "Predicting Stock Volatility Using After-Hours Information," Working Papers UWEC-2009-01, University of Washington, Department of Economics.
  19. Brufman, Leandro & Martinez, Lisana & Artica, Rodrigo Perez, 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," Policy Research Working Paper Series 6571, The World Bank.
  20. John Y. Campbell & Glen B. Taksler, 2003. "Equity Volatility and Corporate Bond Yields," Journal of Finance, American Finance Association, vol. 58(6), pages 2321-2350, December.
  21. M. Rahman & M. Hassan, 2013. "Firm fundamentals and stock prices in emerging Asian stock markets: some panel data evidence," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 463-487, October.
  22. Colm Kearney & Valerio Potì, 2008. "Have European Stocks become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area," European Financial Management, European Financial Management Association, vol. 14(3), pages 419-444.
  23. Rui Castro & Gian Luca Clementi & Yoonsoo Lee, 2015. "Cross Sectoral Variation in the Volatility of Plant Level Idiosyncratic Shocks," Journal of Industrial Economics, Wiley Blackwell, vol. 63(1), pages 1-29, 03.
  24. 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, vol. 13(4-5), pages 341-357, December.
  25. Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002. "Comovement," NBER Working Papers 8895, National Bureau of Economic Research, Inc.
  26. Mahir Binici & Bulent Koksal & Cuneyt Orman, 2013. "Stock Return Comovement and Systemic Risk in the Turkish Banking System," Working Papers 1302, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  27. Charles Ka Yui Leung & Patrick Wai Yin Cheung & Edward Chi Ho Tang, 2013. "Financial Crisis and the Co-movements of Housing Sub-markets: Do relationships change after a crisis?," International Real Estate Review, Asian Real Estate Society, vol. 16(1), pages 68-118.
  28. 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.
  29. 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.
  30. 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.
  31. Rui Castro & Gian Luca Clementi & Yoonsoo Lee, 2008. "Cross-sectoral variation in firm-level idiosyncratic risk," Working Paper 0812, Federal Reserve Bank of Cleveland.
  32. repec:mfj:journl:v:16:y:2011:i:1-2:p:87-124 is not listed on IDEAS
  33. Gianni De Nicolo & Myron L. Kwast, 2001. "Systemic risk and financial consolidation: are they related?," Finance and Economics Discussion Series 2001-33, Board of Governors of the Federal Reserve System (U.S.).
  34. Michael Ehrmann & Marcel Fratzscher, 2006. "Global Financial Transmission of Monetary Policy Shocks," CESifo Working Paper Series 1710, CESifo Group Munich.
  35. Birge, John R. & Yang, Song, 2007. "A model for tax advantages of portfolios with many assets," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3269-3290, November.
  36. 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.
  37. Stivers, Christopher T., 2003. "Firm-level return dispersion and the future volatility of aggregate stock market returns," Journal of Financial Markets, Elsevier, vol. 6(3), pages 389-411, May.
  38. Hayette Gatfaoui, 2005. "How does systematic risk impact stocks ? A study on the French financial market," Working Papers hal-00605035, HAL.
  39. Shue, Kelly & Townsend, Richard R., 2017. "Growth through rigidity: An explanation for the rise in CEO pay," Journal of Financial Economics, Elsevier, vol. 123(1), pages 1-21.
  40. Che, Natasha Xingyuan, 2009. "The great dissolution: organization capital and diverging volatility puzzle," MPRA Paper 13701, University Library of Munich, Germany.
  41. Rossi, Francesco, 2012. "UK cross-sectional equity data: The case for robust investability filters," European Economic Letters, European Economics Letters Group, vol. 1(1), pages 6-13.
  42. Gilchrist, Simon & Sim, Jae W. & Zakrajsek, Egon, 2014. "Uncertainty, Financial Frictions, and Investment Dynamics," Finance and Economics Discussion Series 2014-69, Board of Governors of the Federal Reserve System (U.S.).
  43. 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.
  44. Aslanidis, Nektarios & Christiansen, Charlotte & Lambertides, Neophytos & Savva, Christos S., 2015. "Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors," Working Papers 2072/246968, Universitat Rovira i Virgili, Department of Economics.
  45. CASTRO, Rui & CLEMENTI, Gian Luca & MACDONALD, Glenn, 2009. "Legal Institutions, Sectoral Heterogeneity, and Economic Development," Cahiers de recherche 2009-08, Universite de Montreal, Departement de sciences economiques.
  46. Groenewold, Nicolaas & Fraser, Patricia, 2002. "Violation of the iid-normal assumption: Effects on tests of asset-pricing models using Australian data," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 491-510.
  47. Gorton, Gary B. & He, Ping & Huang, Lixin, 2014. "Agency-based asset pricing," Journal of Economic Theory, Elsevier, vol. 149(C), pages 311-349.
  48. 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.
  49. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis.
  50. Laurent Calvet & George-Marios Angeletos, 2012. "Idiosyncratic Production Risk, Growth and the Business Cycle," Working Papers hal-00674230, HAL.
  51. Bekaert, Geert & Hodrick, Robert J & Zhang, Xiaoyan, 2010. "Aggregate Idiosyncratic Volatility," CEPR Discussion Papers 8149, C.E.P.R. Discussion Papers.
  52. Juncal Cunado & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Structural Changes in Volatility and Stock Market Development: Evidence for Spain," Faculty Working Papers 06/03, School of Economics and Business Administration, University of Navarra.
  53. Luis Opazo & Claudio Raddatz & Sergio L. Schmukler, 2015. "Institutional Investors and Long-Term Investment: Evidence from Chile," World Bank Economic Review, World Bank Group, vol. 29(3), pages 479-522.
  54. Brown, Gregory & Kapadia, Nishad, 2007. "Firm-specific risk and equity market development," Journal of Financial Economics, Elsevier, vol. 84(2), pages 358-388, May.
  55. Steven J. Davis & James A. Kahn, 2008. "Interpreting the Great Moderation: Changes in the Volatility of Economic Activity at the Macro and Micro Levels," NBER Working Papers 14048, National Bureau of Economic Research, Inc.
  56. Aabo, Tom & Pantzalis, Christos & Park, Jung Chul, 2016. "Multinationality as real option facilitator — Illusion or reality?," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 1-17.
  57. Kaltenhaeuser, Bernd, 2003. "Country and sector-specific spillover effects in the euro area, the United States and Japan," Working Paper Series 0286, European Central Bank.
  58. Mariana Mazzucato, 2002. "The PC Industry: New Economy or Early Life-Cycle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(2), pages 318-345, April.
  59. Umutlu, Mehmet & Akdeniz, Levent & Altay-Salih, Aslihan, 2010. "The degree of financial liberalization and aggregated stock-return volatility in emerging markets," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 509-521, March.
  60. Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007. "Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World," Working Paper Series 2007-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  61. Joel Peress, 2014. "The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes," Journal of Finance, American Finance Association, vol. 69(5), pages 2007-2043, October.
  62. Mariana Mazzucato & Massimiliano Tancioni, 2012. "R&D, patents and stock return volatility," Journal of Evolutionary Economics, Springer, vol. 22(4), pages 811-832, September.
  63. Andreas Hornstein & Per Krusell & Giovanni L. Violante, 2005. "The Effects of Technical Change on Labor Market Inequalities," Working Papers 89, Princeton University, Department of Economics, Center for Economic Policy Studies..
  64. 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.
  65. Bley, Jorg & Saad, Mohsen, 2012. "Idiosyncratic risk and expected returns in frontier markets: Evidence from GCC," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 538-554.
  66. Cheng, Shijun, 2008. "Board size and the variability of corporate performance," Journal of Financial Economics, Elsevier, vol. 87(1), pages 157-176, January.
  67. Zura Kakushadze, 2014. "4-Factor Model for Overnight Returns," Papers 1410.5513, arXiv.org, revised Jun 2015.
  68. Chunxia, Yang & Xueshuai, Zhu & Luoluo, Jiang & Sen, Hu & He, Li, 2016. "Study on the contagion among American industries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 601-612.
  69. Moshirian, Fariborz & Wu, Qiongbing, 2009. "Banking industry volatility and banking crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 351-370, April.
  70. Laurent-Emmanuel Calvet & Martin Gonzales-Eiras & Paolo Sodini, 2004. "Financial Innovation, Market Participation, and Asset Prices," Post-Print hal-00478480, HAL.
  71. 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, vol. 146(1), pages 10-25, September.
  72. Jones, Christopher S., 2001. "Extracting factors from heteroskedastic asset returns," Journal of Financial Economics, Elsevier, vol. 62(2), pages 293-325, November.
  73. Foucault, Thierry & Sraer, David & Thesmar, David, 2008. "Individual Investors and Volatility," CEPR Discussion Papers 6915, C.E.P.R. Discussion Papers.
  74. 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.
  75. Michelle Lowry & Micah S. Officer & G. William Schwert, 2010. "The Variability of IPO Initial Returns," Journal of Finance, American Finance Association, vol. 65(2), pages 425-465, 04.
  76. Battaglia, Francesca & Gallo, Angela & Mazzuca, Maria, 2014. "Securitized banking and the Euro financial crisis: Evidence from the Italian banks risk-taking," Journal of Economics and Business, Elsevier, vol. 76(C), pages 85-100.
  77. Gilles Dufrénot & Valérie Mignon & Anne Péguin-Feissolle, 2012. "The effects of the subprime crisis on the Latin American financial markets: an empirical assessment," Post-Print hal-01411539, HAL.
  78. Gregory Connor & Sheng Li, 2009. "Market Dispersion and the Profitability of Hedge Funds," Economics, Finance and Accounting Department Working Paper Series n2000109.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  79. Chiou, Wan-Jiun Paul & Lee, Alice C. & Chang, Chiu-Chi A., 2009. "Do investors still benefit from international diversification with investment constraints?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 448-483, May.
  80. García-Kuhnert, Yamileh & Marchica, Maria-Teresa & Mura, Roberto, 2015. "Shareholder diversification and bank risk-taking," Journal of Financial Intermediation, Elsevier, vol. 24(4), pages 602-635.
  81. John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2006. "In Search of Distress Risk," NBER Working Papers 12362, National Bureau of Economic Research, Inc.
  82. Xueming Luo, 2009. "Quantifying the Long-Term Impact of Negative Word of Mouth on Cash Flows and Stock Prices," Marketing Science, INFORMS, vol. 28(1), pages 148-165, 01-02.
  83. Hyunbae Chun & Jung-Wook Kim & Jason Lee & Randall Morck, 2004. "Patterns of Comovement: The Role of Information Technology in the U.S. Economy," NBER Working Papers 10937, National Bureau of Economic Research, Inc.
  84. Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009. "High idiosyncratic volatility and low returns: International and further U.S. evidence," Journal of Financial Economics, Elsevier, vol. 91(1), pages 1-23, January.
  85. Angeletos, George-Marios & Panousi, Vasia, 2011. "Financial integration, entrepreneurial risk and global dynamics," Journal of Economic Theory, Elsevier, vol. 146(3), pages 863-896, May.
  86. Wei, Steven X. & Zhang, Chu, 2005. "Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 603-621, March.
  87. Joao Gomes & Leonid Kogan & Lu Zhang, 2003. "Equilibrium Cross Section of Returns," Journal of Political Economy, University of Chicago Press, vol. 111(4), pages 693-732, August.
  88. 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.
  89. Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw, 2015. "The Real Value of China's Stock Market," NBER Working Papers 20957, National Bureau of Economic Research, Inc.
  90. Klasa, Sandy & Litov, Lubomir P. & Neyland, Jordan & Sepe, Simone M., 2013. "Does Legal Counsel Expertise Add Value? Evidence from Mergers and Acquisitions," Working Papers 13-27, University of Pennsylvania, Wharton School, Weiss Center.
  91. G. William Schwert, 2001. "Stock Volatility in the New Millennium: How Wacky Is Nasdaq?," NBER Working Papers 8436, National Bureau of Economic Research, Inc.
  92. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2015. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Working Papers 550, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  93. Kim, Kun Ho & Kim, Taejin, 2016. "Capital asset pricing model: A time-varying volatility approach," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 268-281.
  94. Soosung Hwang & Alexandre Rubesam, 2015. "The disappearance of momentum," The European Journal of Finance, Taylor & Francis Journals, vol. 21(7), pages 584-607, May.
  95. Kang, Namho & Kondor, Péter & Sadka, Ronnie, 2011. "Idiosyncratic Return Volatility in the Cross-Section of Stocks," CEPR Discussion Papers 8307, C.E.P.R. Discussion Papers.
  96. Woon Sau Leung & Nicholas Taylor, 2013. "Testing for contagion: the impact of US structured markets on international financial markets," Chapters, in: Handbook of Research Methods and Applications in Empirical Finance, chapter 11, pages 256-284 Edward Elgar Publishing.
  97. Nguyen, Pascal, 2011. "Corporate governance and risk-taking: Evidence from Japanese firms," Pacific-Basin Finance Journal, Elsevier, vol. 19(3), pages 278-297, June.
  98. Andrew Metrick, 2010. "The Economics of Private Equity Funds," Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2303-2341, June.
  99. Luis Opazo & Claudio Raddatz & Sergio L Schmukler, 2010. "The Long and the Short of Emerging Market Debt," Working Papers 42, Superintendencia de Pensiones, revised Jun 2010.
  100. Katya Kartashova, 2014. "Improving Public Equity Markets? No Pain, No Gain," Staff Working Papers 14-41, Bank of Canada.
  101. John M. Maheu & Thomas H. McCurdy, 2004. "News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns," Journal of Finance, American Finance Association, vol. 59(2), pages 755-793, 04.
  102. Helios Herrera, 2005. "Sorting in Risk-Aversion and Asset Price Volatility," Levine's Bibliography 172782000000000083, UCLA Department of Economics.
  103. Brad M. Barber & Terrance Odean, 2001. "The Internet and the Investor," Journal of Economic Perspectives, American Economic Association, vol. 15(1), pages 41-54, Winter.
  104. Nick Bloom & Stephen Bond & John Van Reenen, 2006. "Uncertainty and Investment Dynamics," CEP Discussion Papers dp0739, Centre for Economic Performance, LSE.
  105. Jin, Xi & Shen, Dehua & Zhang, Wei, 2016. "Has microblogging changed stock market behavior? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 151-156.
  106. 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.
  107. 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.
  108. Lubos Pastor & Pietro Veronesi, 2004. "Was There a Nasdaq Bubble in the Late 1990s?," NBER Working Papers 10581, National Bureau of Economic Research, Inc.
  109. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2016. "Is idiosyncratic volatility priced in commodity futures markets?," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 219-226.
  110. Bo Sun, 2009. "Asset returns with earnings management," International Finance Discussion Papers 988, Board of Governors of the Federal Reserve System (U.S.).
  111. Kuosmanen, Petri & Vataja, Juuso, 2011. "The role of stock markets vs. the term spread in forecasting macrovariables in Finland," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 124-132, May.
  112. Chun, Hyunbae & Kim, Jung-Wook & Morck, Randall & Yeung, Bernard, 2008. "Creative destruction and firm-specific performance heterogeneity," Journal of Financial Economics, Elsevier, vol. 89(1), pages 109-135, July.
  113. Fornari Fabio & Mele Antonio, 2013. "Financial Volatility and Economic Activity," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 2, pages 155-198, December.
  114. Malcolm Baker & Jeffrey Wurgler, 2004. "A Catering Theory of Dividends," Journal of Finance, American Finance Association, vol. 59(3), pages 1125-1165, 06.
  115. Nath, Harmindar B. & Brooks, Robert D., 2015. "Assessing the idiosyncratic risk and stock returns relation in heteroskedasticity corrected predictive models using quantile regression," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 94-111.
  116. Beetsma, Roel & Giuliodori, Massimo, 2012. "The changing macroeconomic response to stock market volatility shocks," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 281-293.
  117. David Thesmar & Mathias Thoenig, 2011. "Contrasting Trends in Firm Volatility," Post-Print hal-00635987, HAL.
  118. Kuo-Hao Lee & Ahmed Elkassabgi & Wei-Jen Hsieh, 2014. "Volatility of the Utilities Industry: Its Causal Relationship to Other Nine Industries," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 15-22, May.
  119. Cosset, Jean-Claude & Somé, Hyacinthe Y. & Valéry, Pascale, 2016. "Credible reforms and stock return volatility: Evidence from privatization," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 99-120.
  120. Dimitrios D. Thomakos & Michail S. Koubouros, 2005. "Realized Volatility and Asymmetries in the A.S.E. Returns," Finance 0507012, EconWPA, revised 17 Jan 2006.
  121. Rajgopal, Shiva & Venkatachalam, Mohan, 2011. "Financial reporting quality and idiosyncratic return volatility," Journal of Accounting and Economics, Elsevier, vol. 51(1), pages 1-20.
  122. Sohnke M. Bartram & G. Andrew Karolyi, 2002. "The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures," Finance 0207005, EconWPA, revised 16 Sep 2002.
  123. Kitagawa, Norio & Okuda, Shin’ya, 2016. "Management Forecasts, Idiosyncratic Risk, and the Information Environment," The International Journal of Accounting, Elsevier, vol. 51(4), pages 487-503.
  124. Custódio, Cláudia & Ferreira, Miguel A. & Laureano, Luís, 2013. "Why are US firms using more short-term debt?," Journal of Financial Economics, Elsevier, vol. 108(1), pages 182-212.
  125. Eraker, Bjørn & Ready, Mark, 2015. "Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks," Journal of Financial Economics, Elsevier, vol. 115(3), pages 486-504.
  126. Yener Altunbas & Leonardo Gambacorta & David Marques-Ibanez, 2010. "Does monetary policy affect bank risk-taking?," BIS Working Papers 298, Bank for International Settlements.
  127. Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly, 2014. "Firm Volatility in Granular Networks," 2014 Meeting Papers 253, Society for Economic Dynamics.
  128. Francesco Vallascas & Kevin Keasey, 2013. "The Volatility of European Banking Systems: A Two-Decade Study," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(1), pages 37-68, February.
  129. Francesco D'Acunto & Ryan Liu & Carolin Pflueger & Michael Weber, 2017. "Flexible Prices and Leverage," CESifo Working Paper Series 6317, CESifo Group Munich.
  130. DeLisle, R. Jared & McTier, Brian C. & Smedema, Adam R., 2016. "Systematic limited arbitrage and the cross-section of stock returns: Evidence from exchange traded funds," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 118-136.
  131. Cotter, John, 2004. "Minimum Capital Requirement Calculations for UK Futures," MPRA Paper 3527, University Library of Munich, Germany.
  132. Walkshäusl, Christian, 2014. "The MAX effect: European evidence," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 1-10.
  133. Haq, Mamiza & Heaney, Richard, 2009. "European bank equity risk: 1995-2006," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 274-288, April.
  134. Jiang, Danling, 2008. "Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns," MPRA Paper 8325, University Library of Munich, Germany.
  135. Ivan Brick & N. Chidambaran, 2008. "Board monitoring, firm risk, and external regulation," Journal of Regulatory Economics, Springer, vol. 33(1), pages 87-116, February.
  136. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, HEC Paris.
  137. 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, vol. 34(9), pages 1700-1731, September.
  138. Barth, Mary E. & Konchitchki, Yaniv & Landsman, Wayne R., 2013. "Cost of capital and earnings transparency," Journal of Accounting and Economics, Elsevier, vol. 55(2), pages 206-224.
  139. Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009. "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper 23557, University Library of Munich, Germany.
  140. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000. "The Distribution of Stock Return Volatility," Center for Financial Institutions Working Papers 00-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
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  436. 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, vol. 28(C), pages 1-19.
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  445. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, EconWPA.
  446. Mindy X. Zhang & Hanno Lustig & Barney Hartman-Glaser, 2016. "National Income Accounting When Firms Insure Workers," 2016 Meeting Papers 1625, Society for Economic Dynamics.
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  461. Moonsoo Kang & Kiseok Nam, 2015. "Informed trade and idiosyncratic return variation," Review of Quantitative Finance and Accounting, Springer, vol. 44(3), pages 551-572, April.
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  465. Lin, Shannon, 2015. "Are ivory towers truly ivory? Knowledge spillovers and firm innovation," Journal of Economics and Business, Elsevier, vol. 80(C), pages 21-36.
  466. Valentin Haddad, 2012. "Concentrated Ownership and Equilibrium Asset Prices," 2012 Meeting Papers 902, Society for Economic Dynamics.
  467. Rajnish Mehra & Sunil Wahal & Daruo Xie, 2016. "The Demand for Diversification in Incomplete Markets," NBER Working Papers 22016, National Bureau of Economic Research, Inc.
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  472. repec:rim:rimwps:40-07 is not listed on IDEAS
  473. Colombage, Sisira R.N., 2009. "Financial markets and economic performances: Empirical evidence from five industrialized economies," Research in International Business and Finance, Elsevier, vol. 23(3), pages 339-348, September.
  474. Jin, Li & Myers, Stewart C., 2006. "R2 around the world: New theory and new tests," Journal of Financial Economics, Elsevier, vol. 79(2), pages 257-292, February.
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  476. Rubin, Amir & Smith, Daniel R., 2009. "Institutional ownership, volatility and dividends," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 627-639, April.
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  483. Cheung, Adrian (Wai Kong), 2016. "Corporate social responsibility and corporate cash holdings," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 412-430.
  484. Korajczyk, Robert A. & Levy, Amnon, 2003. "Capital structure choice: macroeconomic conditions and financial constraints," Journal of Financial Economics, Elsevier, vol. 68(1), pages 75-109, April.
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  494. Panousi, Vasia, 2009. "Capital Taxation with Entrepreneurial Risk," MPRA Paper 24237, University Library of Munich, Germany.
  495. Hess, Martin K., 2003. "What drives Markov regime-switching behavior of stock markets? The Swiss case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 527-543.
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This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.