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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. Pilar Abad Romero & María Dolores Robles Fernández, 2012. "Credit rating agencies and unsystematic risk: Is there a linkage?," Documentos de Trabajo del ICAE 2012-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. Cotter, John, 2004. "Minimum Capital Requirement Calculations for UK Futures," MPRA Paper 3527, University Library of Munich, Germany.
  3. Stephen Davis & John Haltiwanger & Ron Jarmin & Javier Miranda, 2006. "Volatility and Dispersion in Business Growth Rates: Publicly Traded Versus Privately Held Firms," Working Papers 06-17, Center for Economic Studies, U.S. Census Bureau.
  4. 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.
  5. Wharton School & Nikolai Roussanov, 2008. "Diversification and its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status," 2008 Meeting Papers 924, Society for Economic Dynamics.
  6. Mariana Mazzucato & Massimiliano Tancioni, 2012. "R&D, patents and stock return volatility," Journal of Evolutionary Economics, Springer, vol. 22(4), pages 811-832, September.
  7. Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2012. "Why Are U.S. Stocks More Volatile?," Journal of Finance, American Finance Association, vol. 67(4), pages 1329-1370, 08.
  8. Miffre, Joëlle & Brooks, Chris & Li, Xiafei, 2013. "Idiosyncratic volatility and the pricing of poorly-diversified portfolios," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 78-85.
  9. 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.
  10. Joel Peress, 2014. "Learning from Stock Prices and Economic Growth," Review of Financial Studies, Society for Financial Studies, vol. 27(10), pages 2998-3059.
  11. Rui CASTRO & Gian Luca CLEMENTI & Yoonsoo LEE, 2014. "Cross–Sectoral Variation in The Volatility of Plant–Level Idiosyncratic Shocks," Cahiers de recherche 15r-2010, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  12. Zura Kakushadze & Jim Kyung-Soo Liew, 2014. "Custom v. Standardized Risk Models," Papers 1409.2575, arXiv.org, revised May 2015.
  13. Bartram, Sohnke M. & Brown, Gregory & Stulz, Rene M., 2009. "Why Do Foreign Firms Have Less Idiosyncratic Risk Than U.S. Firms?," Working Paper Series 2009-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  14. Yao, Juan & Alles, Lakshman, 2006. "Industry return predictability, timing and profitability," Journal of Multinational Financial Management, Elsevier, vol. 16(2), pages 122-141, April.
  15. 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.
  16. John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2006. "In Search of Distress Risk," NBER Working Papers 12362, National Bureau of Economic Research, Inc.
  17. Lin, Xiaoji, 2012. "Endogenous technological progress and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 103(2), pages 411-427.
  18. Calvet, Laurent & Gonzalez-Eiras, Martín & Sodini, Paolo, 2004. "Financial Innovation, Market Participation, and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(03), pages 431-459, September.
  19. John Y. Campbell & Glen B. Taksler, 2002. "Equity Volatility and Corporate Bond Yields," NBER Working Papers 8961, National Bureau of Economic Research, Inc.
  20. Chang, Eric C. & Dong, Sen, 2006. "Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 14(2), pages 135-154, April.
  21. Thierry Foucault & David Thesmar & David Sraer, 2008. "Individual Investors and Volatility," Working Papers hal-00578370, HAL.
  22. Fiordelisi, Franco & Marqués-Ibañez, David, 2013. "Is bank default risk systematic?," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2000-2010.
  23. Hvide, Hans K. & Panos, Georgios A., 2014. "Risk tolerance and entrepreneurship," Journal of Financial Economics, Elsevier, vol. 111(1), pages 200-223.
  24. Hong Zhang, 2004. "Dynamic Beta, Time-Varying Risk Premium, and Momentum," Yale School of Management Working Papers amz2637, Yale School of Management, revised 01 Mar 2005.
  25. 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).
  26. 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).
  27. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad?," Working Paper 2013/22, Norges Bank.
  28. 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.
  29. 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.
  30. Fiordelisi, Franco & Meles, Antonio & Monferrà, Stefano & Starita, Maria Grazia, 2013. "Personal vs. Corporate Goals: Why do Insurance Companies Manage Loss Reserves?," MPRA Paper 47867, University Library of Munich, Germany.
  31. Malcolm Baker & Jeffrey Wurgler, 2004. "A Catering Theory of Dividends," Journal of Finance, American Finance Association, vol. 59(3), pages 1125-1165, 06.
  32. 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.
  33. Susan Sunila Sharma & Paresh Kumar Narayan & Xinwei Zheng, 2011. "An analysis of firm and market volatility," Financial Econometics Series 2011_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  34. repec:rim:rimwps:40-07 is not listed on IDEAS
  35. Gianni De Nicolo & Myron L. Kwast, 2002. "Systemic Risk and Financial Consolidation; Are they Related?," IMF Working Papers 02/55, International Monetary Fund.
  36. Dimitrios D. Thomakos & Michail S. Koubouros, 2005. "Realized Volatility and Asymmetries in the A.S.E. Returns," Finance 0507012, EconWPA, revised 17 Jan 2006.
  37. Vozlyublennaia, Nadia & Meshcheryakov, Artem, 2014. "Dynamic correlation structure and security risk," Journal of Economics and Business, Elsevier, vol. 73(C), pages 48-64.
  38. Oikawa, Koki, 2008. "Acceleration effect of uncertainty on technological diffusion," Economics Letters, Elsevier, vol. 101(3), pages 234-236, December.
  39. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
  40. Bo Sun, 2009. "Asset returns with earnings management," International Finance Discussion Papers 988, Board of Governors of the Federal Reserve System (U.S.).
  41. Emmanuel De Veirman & Andrew Levin, 2009. "Measuring Changes in Firm-Level Volatility: An Application to Japan," Reserve Bank of New Zealand Discussion Paper Series DP2009/20, Reserve Bank of New Zealand.
  42. Saadet Kirbas-Kasman & Adnan Kasman, 2003. "Volatility of ISE and Business Cycle," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 3(1), pages 67-84.
  43. 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.
  44. Nguyen, Nhut H. & Truong, Cameron, 2013. "The information content of stock markets around the world: A cultural explanation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 1-29.
  45. Steven J. Davis & James A. Kahn, 2007. "Macroeconomic implications of changes in micro volatility," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
  46. 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.
  47. 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.
  48. Samaniego, Roberto M., 2008. "Can technical change exacerbate the effects of labor market sclerosis," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 497-528, February.
  49. Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2005. "International Stock Return Comovements," Working Papers 06-3, University of Pennsylvania, Wharton School, Weiss Center.
  50. Joel F. Houston & Kevin J. Stiroh, 2006. "Three decades of financial sector risk," Staff Reports 248, Federal Reserve Bank of New York.
  51. Lee, Chien-Chiang & Chang, Chi-Hung & Chen, Mei-Ping, 2015. "Industry co-movements of American depository receipts: Evidences from the copula approaches," Economic Modelling, Elsevier, vol. 46(C), pages 301-314.
  52. Fang, Victor & Hung, Chi-Hsiou D., 2014. "Corporate bond prices and idiosyncratic risk: Evidence from Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 99-114.
  53. Hui Guo & Robert Whitelaw, 2005. "Uncovering the risk-return relation in the stock market," Working Papers 2001-001, Federal Reserve Bank of St. Louis.
  54. Gongyu Chen & Chris Higson & Sean Holly & Ivan Petrella, 2010. "Equity Markets, Financial Integration and Competitive Convergence," Working Paper / FINESS 1.5, DIW Berlin, German Institute for Economic Research.
  55. Cheng, Shijun, 2008. "Board size and the variability of corporate performance," Journal of Financial Economics, Elsevier, vol. 87(1), pages 157-176, January.
  56. Balasubramnian, Bhanu & Cyree, Ken B., 2011. "Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 21-35, January.
  57. Diego Comin & Thomas Philippon, 2005. "The Rise in Firm-Level Volatility: Causes and Consequences," NBER Working Papers 11388, National Bureau of Economic Research, Inc.
  58. Andrew Ang & Joseph Chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc.
  59. Thomakos, Dimitrios D. & Wang, Tao, 2003. "Realized volatility in the futures markets," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 321-353, May.
  60. Fleming, Jeff & Kirby, Chris, 2011. "Long memory in volatility and trading volume," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1714-1726, July.
  61. Bowden, Mark P., 2012. "Information contagion within small worlds and changes in kurtosis and volatility in financial prices," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 553-566.
  62. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section," Working Paper 2013/19, Norges Bank.
  63. Iskandar-Datta, Mai E. & Jia, Yonghong, 2012. "Cross-country analysis of secular cash trends," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 898-912.
  64. Valentin Haddad, 2012. "Concentrated Ownership and Equilibrium Asset Prices," 2012 Meeting Papers 902, Society for Economic Dynamics.
  65. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2010. "Aggregate Idiosyncratic Volatility," NBER Working Papers 16058, National Bureau of Economic Research, Inc.
  66. Nicholas Bloom & Max Floetotto & Nir Jaimovich & Itay Saporta-Eksten & Stephen J. Terry, 2012. "Really Uncertain Business Cycles," NBER Working Papers 18245, National Bureau of Economic Research, Inc.
  67. 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.
  68. 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.
  69. 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.
  70. 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.
  71. Helios Herrera, 2005. "Sorting in Risk-Aversion and Asset Price Volatility," Levine's Bibliography 172782000000000083, UCLA Department of Economics.
  72. Jess Benhabib & Alberto Bisin & Mi Luo, 2015. "Wealth Distribution and Social Mobility in the US: A Quantitative Approach," NBER Working Papers 21721, National Bureau of Economic Research, Inc.
  73. Chen, Chun-Hung & Yu, Wei-Choun & Zivot, Eric, 2012. "Predicting stock volatility using after-hours information: Evidence from the NASDAQ actively traded stocks," International Journal of Forecasting, Elsevier, vol. 28(2), pages 366-383.
  74. Nektarios Aslanidis & Charlotte Christiansen & Neophytos Lambertides & Christos S. Savva, 2014. "Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors," CREATES Research Papers 2014-45, Department of Economics and Business Economics, Aarhus University.
  75. Gregory Connor & Zhuo Chen & Robert A. Korajczyk, 2014. "A Performance Comparison of Large-n Factor Estimators," Economics, Finance and Accounting Department Working Paper Series n255-14.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  76. 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.
  77. Blau, Benjamin M. & Brough, Tyler J. & Thomas, Diana W., 2014. "Economic freedom and the stability of stock prices: A cross-country analysis," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 182-196.
  78. Hayette Gatfaoui, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Research Paper Series 123, Quantitative Finance Research Centre, University of Technology, Sydney.
  79. 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.
  80. Luis Opazo & Claudio Raddatz & Sergio Schmukler, 2009. "The Long And The Short Of Emerging Market Debt," Working Papers Central Bank of Chile 530, Central Bank of Chile.
  81. Esther Eiling, 2013. "Industry-Specific Human Capital, Idiosyncratic Risk, and the Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 68(1), pages 43-84, 02.
  82. Andreou, Elena & Ghysels, Eric, 2002. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 363-76, July.
  83. Efrem Castelnuovo & Salvatore Nisticò, 2010. "Stock Market Conditions and Monetary Policy in a DSGE Model for the U.S," "Marco Fanno" Working Papers 0107, Dipartimento di Scienze Economiche "Marco Fanno".
  84. Barinov, Alexander, 2012. "Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle," Journal of Corporate Finance, Elsevier, vol. 18(4), pages 763-781.
  85. 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.
  86. Bernard Ben Sita, 2013. "Volatility links between US industries," Applied Financial Economics, Taylor & Francis Journals, vol. 23(15), pages 1273-1286, August.
  87. Hou, Kewei & Peng, Lin & Xiong, Wei, 2006. "R2 and Price Inefficiency," Working Paper Series 2006-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  88. 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.
  89. René Garcia & Daniel Mantilla-Garcia & Lionel Martellini, 2013. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," CIRANO Working Papers 2013s-01, CIRANO.
  90. Binici, Mahir & Köksal, Bülent & Orman, Cüneyt, 2012. "Stock return comovement and systemic risk in the Turkish banking system," MPRA Paper 38663, University Library of Munich, Germany.
  91. Carrieri, Francesca & Errunza, Vihang & Sarkissian, Sergei, 2006. "The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?," Working Papers 06-4, University of Pennsylvania, Wharton School, Weiss Center.
  92. Pástor, Luboš & Veronesi, Pietro, 2004. "Was There A Nasdaq Bubble in the Late 1990s?," CEPR Discussion Papers 4485, C.E.P.R. Discussion Papers.
  93. Marcelle Chauvet & Zeynep Senyuz & Emre Yoldas, 2012. "What does financial volatility tell us about macroeconomic fluctuations?," Finance and Economics Discussion Series 2012-09, Board of Governors of the Federal Reserve System (U.S.).
  94. 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.
  95. 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.
  96. Berggrun, Luis & Lizarzaburu, Edmundo & Cardona, Emilio, 2016. "Idiosyncratic volatility and stock returns: Evidence from the MILA," Research in International Business and Finance, Elsevier, vol. 37(C), pages 422-434.
  97. Beneda, Nancy & Zhang, Yilei, 2009. "Heterogeneous relationship between IPO return and risk across idiosyncratic variance characteristics," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1298-1316, November.
  98. Cheung, Adrian (Wai Kong), 2016. "Corporate social responsibility and corporate cash holdings," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 412-430.
  99. 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.
  100. Fernando D. Chague & Rodrigo De-Losso, Alan De Genaro, Bruno C. Giovannetti, 2013. "Short Selling and Inside Information," Working Papers, Department of Economics 2013_06, University of São Paulo (FEA-USP), revised 28 Jul 2016.
  101. David Thesmar & Mathias Thoenig, 2011. "Contrasting Trends in Firm Volatility," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(4), pages 143-80, October.
  102. Choy, Helen & Lin, Juichia & Officer, Micah S., 2014. "Does freezing a defined benefit pension plan affect firm risk?," Journal of Accounting and Economics, Elsevier, vol. 57(1), pages 1-21.
  103. Lassaâd Mbarek & Dorra Mezzez Hmaied, 2012. "Bank informational opacity: evidence from the Tunisian stock market," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 20(3), pages 278-292, July.
  104. 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.
  105. 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.
  106. Ivo Welch, 2016. "Levered Returns," NBER Working Papers 22150, National Bureau of Economic Research, Inc.
  107. Sourafel Girma & Sandra Lancheros & Alejandro Riaño, 2015. "Global Engagement and Returns Volatility," CESifo Working Paper Series 5650, CESifo Group Munich.
  108. Hau, Harald, 2002. "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," CEPR Discussion Papers 3651, C.E.P.R. Discussion Papers.
  109. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," CESifo Working Paper Series 4736, CESifo Group Munich.
  110. Frank M. Fossen, 2012. "Risk Attitudes and Private Business Equity," Discussion Papers of DIW Berlin 1209, DIW Berlin, German Institute for Economic Research.
  111. 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).
  112. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 203-220.
  113. Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014. "The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications," NBER Working Papers 20076, National Bureau of Economic Research, Inc.
  114. Gerard Hoberg & Gordon M. Phillips, 2008. "Real and Financial Industry Booms and Busts," NBER Working Papers 14290, National Bureau of Economic Research, Inc.
  115. Drew, Michael E. & Naughton, Tony & Veeraraghavan, Madhu, 2004. "Is idiosyncratic volatility priced?: Evidence from the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 349-366.
  116. Alain Gabler & Markus Poschke, 2013. "Experimentation by Firms, Distortions, and Aggregate Productivity," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(1), pages 26-38, January.
  117. Li JIN & Stewart C. MYERS, 2004. "R2 Around the World: New Theory and New Tests," FAME Research Paper Series rp158, International Center for Financial Asset Management and Engineering.
  118. 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.
  119. Nick Bloom & Stephen Bond & John Van Reenen, 2007. "Uncertainty and Investment Dynamics," Review of Economic Studies, Oxford University Press, vol. 74(2), pages 391-415.
  120. Katya Kartashova, 2014. "Improving Public Equity Markets? No Pain, No Gain," Staff Working Papers 14-41, Bank of Canada.
  121. Jeffrey R. Campbell & Jonas D. M. Fisher, 2000. "Idiosyncratic risk and aggregate employment dynamics," Working Paper Series WP-00-15, Federal Reserve Bank of Chicago.
  122. Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2013. "Firm Volatility in Granular Networks," NBER Working Papers 19466, National Bureau of Economic Research, Inc.
  123. Hui Guo & Jason Higbee, 2006. "Market timing with aggregate and idiosyncratic stock volatilities," Working Papers 2005-073, Federal Reserve Bank of St. Louis.
  124. Pengfei Wang & Yi Wen, 2013. "Financial development and long-run volatility trends," Working Papers 2013-003, Federal Reserve Bank of St. Louis.
  125. Rui Castro & Gian Luca Clementi & Glenn MacDonald, 2004. "Legal Institutions, Sectoral Heterogeneity, and Economic Development," 2004 Meeting Papers 162, Society for Economic Dynamics.
  126. 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.
  127. Huang, Alan Guoming, 2009. "The cross section of cashflow volatility and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 409-429, June.
  128. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, EconWPA.
  129. Chong, Terence Tai Leung & Lin, Shiyu, 2015. "Predictive Models for Disaggregate Stock Market Volatility," MPRA Paper 68460, University Library of Munich, Germany.
  130. Hu, Ou, 2006. "Common and country-specific components in national stock prices," Journal of Multinational Financial Management, Elsevier, vol. 16(5), pages 509-519, December.
  131. 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.
  132. Rui Castro & Gian Luca Clementi & Yoonsoo Lee, 2010. "Cross–Sectoral Variation in Firm–Level Idiosyncratic Risk," Working Paper Series 28_10, The Rimini Centre for Economic Analysis.
  133. Kang, Namho & Kondor, Péter & Sadka, Ronnie, 2014. "Do Hedge Funds Reduce Idiosyncratic Risk?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(04), pages 843-877, August.
  134. Antonio Mele, 2009. "Financial Volatility and Economic Activity," FMG Discussion Papers dp642, Financial Markets Group.
  135. Nicholas Bloom, 2014. "Fluctuations in Uncertainty," Discussion Papers 13-033, Stanford Institute for Economic Policy Research.
  136. Krishnan, C.N.V. & Ritchken, Peter H. & Thomson, James B., 2010. "Predicting credit spreads," Journal of Financial Intermediation, Elsevier, vol. 19(4), pages 529-563, October.
  137. 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.
  138. Jennie Bai & Thomas Philippon & Alexi Savov, 2013. "Have Financial Markets Become More Informative?," NBER Working Papers 19728, National Bureau of Economic Research, Inc.
  139. A. Arrighetti & R. Brancati & A. Lasagni & A. Maresca, 2015. "Firms’ heterogeneity and performance in manufacturing during the great recession," Economics Department Working Papers 2015-EP03, Department of Economics, Parma University (Italy).
  140. Larry Epstein & Martin Schneider, 2005. "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers 519, University of Rochester - Center for Economic Research (RCER).
  141. Dufrénot, Gilles & Mignon, Valérie & Péguin-Feissolle, Anne, 2011. "The effects of the subprime crisis on the Latin American financial markets: An empirical assessment," Economic Modelling, Elsevier, vol. 28(5), pages 2342-2357, September.
  142. 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.
  143. 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.
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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.