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The Cross-Section of Volatility and Expected Returns

Citations

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Cited by:

  1. Rajnish Mehra & Sunil Wahal & Daruo Xie, 2016. "Is Idiosyncratic Risk Conditionally Priced?," NBER Working Papers 22016, National Bureau of Economic Research, Inc.
  2. Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2018. "A Measure of Risk Appetite for the Macroeconomy," NBER Working Papers 24529, National Bureau of Economic Research, Inc.
  3. Wang, Huijun & Yan, Jinghua & Yu, Jianfeng, 2017. "Reference-dependent preferences and the risk–return trade-off," Journal of Financial Economics, Elsevier, vol. 123(2), pages 395-414.
  4. Sati P. Bandyopadhyay & Alan Guoming Huang & Kevin Jialin Sun & Tony S. Wirjanto, 2017. "The return premiums to accruals quality," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 83-115, January.
  5. Kewei Hou & Chen Xue & Lu Zhang, 2012. "Digesting Anomalies: An Investment Approach," NBER Working Papers 18435, National Bureau of Economic Research, Inc.
  6. repec:taf:oaefxx:v:5:y:2017:i:1:p:1420998 is not listed on IDEAS
  7. Nodari, Gabriela, 2014. "Financial regulation policy uncertainty and credit spreads in the US," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 122-132.
  8. Doina C. Chichernea & Michael F. Ferguson & Haimanot Kassa, 2015. "Idiosyncratic Risk, Investor Base, and Returns," Financial Management, Financial Management Association International, vol. 44(2), pages 267-293, June.
  9. repec:taf:oaefxx:v:5:y:2017:i:1:p:1364011 is not listed on IDEAS
  10. Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011. "Spot and forward volatility in foreign exchange," Journal of Financial Economics, Elsevier, vol. 100(3), pages 496-513, June.
  11. repec:eee:pacfin:v:46:y:2017:i:pa:p:141-157 is not listed on IDEAS
  12. Jozef Barun'ik & Matv{e}j Nevrla, 2018. "Tail Risks, Asset prices, and Investment Horizons," Papers 1806.06148, arXiv.org.
  13. Jie Zhu, 2008. "FIEGARCH-M and and International Crises: A Cross-Country Analysis," CREATES Research Papers 2008-16, Department of Economics and Business Economics, Aarhus University.
  14. Kees G. Koedijk & Alfred M.H. Slager & Philip A. Stork, 2016. "Investing in Systematic Factor Premiums," European Financial Management, European Financial Management Association, vol. 22(2), pages 193-234, March.
  15. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
  16. Demirer, Rıza & Jategaonkar, Shrikant P. & Khalifa, Ahmed A.A., 2015. "Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries," Energy Economics, Elsevier, vol. 49(C), pages 132-140.
  17. Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012. "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
  18. Stephan Süss, 2012. "The pricing of idiosyncratic risk: evidence from the implied volatility distribution," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 247-267, June.
  19. Oestreich, A. Marcel & Tsiakas, Ilias, 2015. "Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 294-308.
  20. Dhiaa Shamki, 2012. "Impact of Non Accounting Information on The Value Relevance of Accounting Information: The Case of Jordan," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 2(1), pages 9-24, February.
  21. Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Journal of Econometrics, Elsevier, vol. 160(1), pages 235-245, January.
  22. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
  23. Yang, Chunpeng & Yan, Wei & Zhang, Rengui, 2013. "Sentiment approach to negative expected return in the stock market," Economic Modelling, Elsevier, vol. 35(C), pages 30-34.
  24. Beber, Alessandro & Brandt, Michael & Cen, Jason, 2014. "Switching Risk Off: FX Correlations and Risk Premia," CEPR Discussion Papers 10214, C.E.P.R. Discussion Papers.
  25. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
  26. repec:eee:jfinin:v:31:y:2017:i:c:p:45-63 is not listed on IDEAS
  27. repec:eee:empfin:v:43:y:2017:i:c:p:33-42 is not listed on IDEAS
  28. repec:eee:empfin:v:49:y:2018:i:c:p:1-18 is not listed on IDEAS
  29. Dror Parnes, 2011. "Developments in corporate creditworthiness around ownership events," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(4), pages 377-396, September.
  30. repec:bla:eufman:v:20:y:2014:i:4:p:770-801 is not listed on IDEAS
  31. Tobias Adrian & Joshua Rosenberg, 2008. "Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2997-3030, December.
  32. Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns," Swiss Finance Institute Research Paper Series 07-26, Swiss Finance Institute.
  33. Turan G. Bali & Armen Hovakimian, 2009. "Volatility Spreads and Expected Stock Returns," Management Science, INFORMS, vol. 55(11), pages 1797-1812, November.
  34. repec:eco:journ1:2018-02-19 is not listed on IDEAS
  35. Leonid Kogan & Mary Tian, 2012. "Firm characteristics and empirical factor models: a data-mining experiment," International Finance Discussion Papers 1070, Board of Governors of the Federal Reserve System (U.S.).
  36. Wang, Jianxin & Yang, Minxian, 2013. "On the risk return relationship," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 132-141.
  37. Huang, Alex YiHou, 2012. "Asymmetric dynamics of stock price continuation," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1839-1855.
  38. Kim, Dongcheol & Na, Haejung, 2016. "The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 37-53.
  39. Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Wang, Tianyang, 2016. "An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments," Energy Economics, Elsevier, vol. 54(C), pages 213-223.
  40. Lam, F.Y. Eric C. & Wei, K.C. John, 2011. "Limits-to-arbitrage, investment frictions, and the asset growth anomaly," Journal of Financial Economics, Elsevier, vol. 102(1), pages 127-149, October.
  41. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2017. "The Memory of Stock Return Volatility: Asset Pricing Implications," Hannover Economic Papers (HEP) dp-613, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  42. Dahl Christian M & Iglesias Emma, 2011. "Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-32, February.
  43. Helga Fehr-Duda & Thomas Epper, 2012. "Probability and Risk: Foundations and Economic Implications of Probability-Dependent Risk Preferences," Annual Review of Economics, Annual Reviews, vol. 4(1), pages 567-593, July.
  44. Satoshi Sakamaki, 2013. "The Securities-Correlation Risks and the Volatility Effects in the Japanese Stock Market," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 9(3), pages 531-552, September.
  45. Pithak Srisuksai, 2012. "Idiosyncratic Volatility and Expected Stock Returns: Evidence from Thailand," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 19(2), pages 66-89, December.
  46. Da, Zhi & Warachka, Mitch, 2011. "The disparity between long-term and short-term forecasted earnings growth," Journal of Financial Economics, Elsevier, vol. 100(2), pages 424-442, May.
  47. repec:eee:empfin:v:47:y:2018:i:c:p:229-245 is not listed on IDEAS
  48. James S. Doran & Danling Jiang & David R. Peterson, 2011. "Gambling Preference and the New Year Effect of Assets with Lottery Features," Review of Finance, European Finance Association, vol. 16(3), pages 685-731.
  49. Barinov, Alexander, 2017. "Institutional ownership and aggregate volatility risk," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 20-38.
  50. de Oliveira Souza, Thiago, 2016. "The size premium and intertemporal risk," Discussion Papers of Business and Economics 3/2016, University of Southern Denmark, Department of Business and Economics.
  51. 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.
  52. Kryzanowski, Lawrence & Mohsni, Sana, 2015. "Earnings forecasts and idiosyncratic volatilities," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 107-123.
  53. Constantinos Antoniou & John A. Doukas & Avanidhar Subrahmanyam, 2016. "Investor Sentiment, Beta, and the Cost of Equity Capital," Management Science, INFORMS, vol. 62(2), pages 347-367, February.
  54. repec:eee:pacfin:v:53:y:2019:i:c:p:464-483 is not listed on IDEAS
  55. 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.
  56. repec:eee:finana:v:56:y:2018:i:c:p:127-135 is not listed on IDEAS
  57. Chira, Inga & Madura, Jeff & Viale, Ariel M., 2013. "Bank exposure to market fear," Journal of Financial Stability, Elsevier, vol. 9(4), pages 451-459.
  58. repec:eee:finmar:v:40:y:2018:i:c:p:92-108 is not listed on IDEAS
  59. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, September.
  60. repec:bla:finmgt:v:47:y:2018:i:3:p:739-774 is not listed on IDEAS
  61. Berrada, Tony & Hugonnier, Julien, 2013. "Incomplete information, idiosyncratic volatility and stock returns," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 448-462.
  62. Hui Guo & Robert Savickas, 2006. "The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries," Working Papers 2006-036, Federal Reserve Bank of St. Louis.
  63. repec:eee:empfin:v:50:y:2019:i:c:p:93-112 is not listed on IDEAS
  64. repec:eee:pacfin:v:48:y:2018:i:c:p:186-209 is not listed on IDEAS
  65. repec:eee:finana:v:57:y:2018:i:c:p:184-206 is not listed on IDEAS
  66. Bartram, Söhnke M. & Brown, Gregory W. & Stulz, René M., 2016. "Why does idiosyncratic risk increase with market risk?," CFS Working Paper Series 533, Center for Financial Studies (CFS).
  67. Henry Lahr & Andrea Mina, 2014. "Liquidity, Technological Opportunities, and the Stage Distribution of Venture Capital Investments," Financial Management, Financial Management Association International, vol. 43(2), pages 291-325, June.
  68. Hung, Chung-Wen & Shiu, Cheng-Yi, 2016. "Trader activities, ownership, and stock price reactions to MSCI standard index changes: Evidence from Taiwan," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 49-63.
  69. Berndt, Antje & Gupta, Anurag, 2009. "Moral hazard and adverse selection in the originate-to-distribute model of bank credit," Journal of Monetary Economics, Elsevier, vol. 56(5), pages 725-743, July.
  70. Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016. "The common factor in idiosyncratic volatility: Quantitative asset pricing implications," Journal of Financial Economics, Elsevier, vol. 119(2), pages 249-283.
  71. Du, Ning & Budescu, David V., 2007. "Does past volatility affect investors' price forecasts and confidence judgements?," International Journal of Forecasting, Elsevier, vol. 23(3), pages 497-511.
  72. Nagel, Stefan, 2005. "Short sales, institutional investors and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(2), pages 277-309, November.
  73. Du, Ding & Hu, Ou, 2012. "Foreign exchange volatility and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1202-1216.
  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. Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici, 2014. "The Joint Cross Section of Stocks and Options," Journal of Finance, American Finance Association, vol. 69(5), pages 2279-2337, October.
  76. repec:pal:assmgt:v:18:y:2017:i:6:d:10.1057_s41260-017-0041-z is not listed on IDEAS
  77. Jiang, Danling, 2006. "Investor Overreaction, Cross-Sectional Dispersion of Firm Valuations, and Expected Stock Returns," Working Paper Series 2006-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  78. Fousseni Chabi-Yo, 2012. "Pricing Kernels with Stochastic Skewness and Volatility Risk," Management Science, INFORMS, vol. 58(3), pages 624-640, March.
  79. Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
  80. Zura Kakushadze, 2015. "Heterotic Risk Models," Papers 1508.04883, arXiv.org, revised Jan 2016.
  81. repec:ire:issued:v:21:n:02:2018:p:251-274 is not listed on IDEAS
  82. Arisoy, Yakup Eser, 2010. "Volatility risk and the value premium: Evidence from the French stock market," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 975-983, May.
  83. repec:oup:rcorpf:v:5:y:2016:i:2:p:200-238. is not listed on IDEAS
  84. Chiang, Thomas C. & Zheng, Dazhi, 2015. "Liquidity and stock returns: Evidence from international markets," Global Finance Journal, Elsevier, vol. 27(C), pages 73-97.
  85. Barberis, Nicholas & Xiong, Wei, 2012. "Realization utility," Journal of Financial Economics, Elsevier, vol. 104(2), pages 251-271.
  86. Nicholas G. Polson & James G. Scott, 2011. "An empirical test for Eurozone contagion using an asset-pricing model with heavy-tailed stochastic volatility," Papers 1110.5789, arXiv.org, revised Mar 2012.
  87. Jan Bastin, 2015. "Volatility Effect: An Application on the German Stock Market," Český finanční a účetní časopis, University of Economics, Prague, vol. 2015(1), pages 36-54.
  88. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, Elsevier.
  89. Malcolm Baker & Mathias F. Hoeyer & Jeffrey Wurgler, 2016. "The Risk Anomaly Tradeoff of Leverage," NBER Working Papers 22116, National Bureau of Economic Research, Inc.
  90. Sabine Artmann & Philipp Finter & Alexander Kempf & Stefan Koch & Erik Theissen, 2012. "The Cross-Section of German Stock Returns: New Data and New Evidence," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 64(1), pages 20-43, January.
  91. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
  92. Edmond, Chris & Weill, Pierre-Olivier, 2012. "Aggregate implications of micro asset market segmentation," Journal of Monetary Economics, Elsevier, vol. 59(4), pages 319-335.
  93. repec:eee:jfinec:v:128:y:2018:i:2:p:234-252 is not listed on IDEAS
  94. He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng, 2015. "Multi-factor volatility and stock returns," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 132-149.
  95. repec:bla:buecrs:v:71:y:2019:i:1:p:90-112 is not listed on IDEAS
  96. repec:eee:pacfin:v:54:y:2019:i:c:p:55-72 is not listed on IDEAS
  97. 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.
  98. Kyung Shim & Harjoat Bhamra, 2015. "Stochastic Idiosyncratic Operating Risk and Real Options: Implications for Stock Returns," 2015 Meeting Papers 1494, Society for Economic Dynamics.
  99. repec:eee:ecmode:v:64:y:2017:i:c:p:128-140 is not listed on IDEAS
  100. Sainan Jin & Liangjun Su & Yonghui Zhang, 2015. "Nonparametric testing for anomaly effects in empirical asset pricing models," Empirical Economics, Springer, vol. 48(1), pages 9-36, February.
  101. Tobias Adrian & Erkko Etula, 2010. "Funding liquidity risk and the cross-section of stock returns," Staff Reports 464, Federal Reserve Bank of New York.
  102. Auer, Benjamin R. & Rottmann, Horst, 2014. "Is there a Friday the 13th effect in emerging Asian stock markets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 1(C), pages 17-26.
  103. Vayanos, Dimitri, 2004. "Flight to quality, flight to liquidity, and the pricing of risk," LSE Research Online Documents on Economics 456, London School of Economics and Political Science, LSE Library.
  104. Deven Bathia & Christos Bouras & Riza Demirer & Rangan Gupta, 2019. "Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows," Working Papers 201937, University of Pretoria, Department of Economics.
  105. repec:bla:eufman:v:16:y:2010:i:1:p:27-42 is not listed on IDEAS
  106. Badia, Marc & Barth, Mary E. & Duro, Miguel & Ormazabal, Gaizka, 2017. "Firm Risk and Disclosures about Dispersion in Asset Values:," CEPR Discussion Papers 12144, C.E.P.R. Discussion Papers.
  107. Fabian Hollstein & Marcel Prokopczuk & Chardin Wese Simen, 2019. "The term structure of systematic and idiosyncratic risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 435-460, April.
  108. Reza Bradrania, M. & Peat, Maurice & Satchell, Stephen, 2015. "Liquidity costs, idiosyncratic volatility and expected stock returns," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 394-406.
  109. Han, Yufeng & Zhou, Guofu & Zhu, Yingzi, 2016. "A trend factor: Any economic gains from using information over investment horizons?," Journal of Financial Economics, Elsevier, vol. 122(2), pages 352-375.
  110. Ben Ammar, Semir & Eling, Martin, 2015. "Common risk factors of infrastructure investments," Energy Economics, Elsevier, vol. 49(C), pages 257-273.
  111. Geoffrey Loudon & Alan Rai, 2007. "Is volatility risk priced after all? Some disconfirming evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 17(5), pages 357-368.
  112. 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.
  113. repec:bla:eufman:v:17:y:2011:i:1:p:145-182 is not listed on IDEAS
  114. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2013. "Extreme Downside Liquidity Risk," Working Papers on Finance 1326, University of St. Gallen, School of Finance, revised Jul 2015.
  115. Yin-Ching Jan, 2014. "A Note on a New Weighted Idiosyncratic Risk Measure," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(3), pages 194-198, July.
  116. Agarwalla, Sobhesh Kumar & Jacob, Joshy & Varma, Jayanth R. & Vasudevan, Ellapulli, 2014. "Betting Against Beta in the Indian Market," IIMA Working Papers WP2014-07-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
  117. Zihui Yang & Yinggang Zhou, 2017. "Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes," Management Science, INFORMS, vol. 63(2), pages 333-354, February.
  118. repec:eee:riibaf:v:48:y:2019:i:c:p:271-286 is not listed on IDEAS
  119. Frazzini, Andrea & Pedersen, Lasse Heje, 2014. "Betting against beta," Journal of Financial Economics, Elsevier, vol. 111(1), pages 1-25.
  120. Andrew Ang & Joseph Chen & Yuhang Xing, 2006. "Downside Risk," Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1191-1239.
    • Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  121. Lee, Bong Soo & Mauck, Nathan, 2016. "Dividend initiations, increases and idiosyncratic volatility," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 47-60.
  122. repec:eee:pacfin:v:46:y:2017:i:pa:p:41-56 is not listed on IDEAS
  123. repec:eee:finlet:v:24:y:2018:i:c:p:163-167 is not listed on IDEAS
  124. Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie, 2010. "Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 460-470, June.
  125. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
  126. Aabo, Tom & Pantzalis, Christos & Park, Jung Chul, 2017. "Idiosyncratic volatility: An indicator of noise trading?," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 136-151.
  127. 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.
  128. repec:pal:assmgt:v:17:y:2016:i:4:d:10.1057_jam.2016.13 is not listed on IDEAS
  129. Andrei Salem Gonçalves & Robert Aldo Iquiapaza & Aureliano Angel Bressan, 2012. "Latent Fundamentals Arbitrage with a Mixed Effects Factor Model," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 317-335.
  130. Dimitrios D. Thomakos & Michail S. Koubouros, 2011. "The Role of Realised Volatility in the Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 87-124, March - J.
  131. Victoria Atanasov, 2014. "Common Risk Factors in Equity Markets," Tinbergen Institute Discussion Papers 14-070/IV, Tinbergen Institute.
  132. Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2010. "Long-run cash flow and discount-rate risks in the cross-section of US returns," The European Journal of Finance, Taylor & Francis Journals, vol. 16(3), pages 227-244.
  133. Eom, Cheoljun & Park, Jong Won, 2017. "Effects of common factors on stock correlation networks and portfolio diversification," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 1-11.
  134. 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.
  135. Au, Andrea S. & Doukas, John A. & Onayev, Zhan, 2009. "Daily short interest, idiosyncratic risk, and stock returns," Journal of Financial Markets, Elsevier, vol. 12(2), pages 290-316, May.
  136. Kraft, Holger & Schwartz, Eduardo & Weiss, Farina, 2013. "Growth options and firm valuation," SAFE Working Paper Series 6, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  137. Dow, James & Han, Jungsuk, 2015. "Contractual incompleteness, limited liability and asset price bubbles," Journal of Financial Economics, Elsevier, vol. 116(2), pages 383-409.
  138. Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi, 2012. "CAPM for estimating the cost of equity capital: Interpreting the empirical evidence," Journal of Financial Economics, Elsevier, vol. 103(1), pages 204-220.
  139. repec:eee:empfin:v:47:y:2018:i:c:p:207-228 is not listed on IDEAS
  140. repec:eee:finlet:v:24:y:2018:i:c:p:175-178 is not listed on IDEAS
  141. Cooper, Ilan & Priestley, Richard, 2011. "Real investment and risk dynamics," Journal of Financial Economics, Elsevier, vol. 101(1), pages 182-205, July.
  142. repec:pal:assmgt:v:18:y:2017:i:5:d:10.1057_s41260-017-0044-9 is not listed on IDEAS
  143. Lin, Bing-Huei & Lin, Yueh-Neng & Chen, Yin-Jung, 2012. "Volatility risk premium decomposition of LIFFE equity options," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 315-326.
  144. Huffman, Stephen P. & Moll, Cliff R., 2013. "An examination of the relation between asymmetric risk measures, prior returns and expected daily stock returns," Review of Financial Economics, Elsevier, vol. 22(1), pages 8-19.
  145. repec:eee:phsmap:v:497:y:2018:i:c:p:218-235 is not listed on IDEAS
  146. Andries, Marianne & Eisenbach, Thomas M. & Schmalz, Martin C., 2014. "Horizon-dependent risk aversion and the timing and pricing of uncertainty," Staff Reports 703, Federal Reserve Bank of New York, revised 01 Apr 2019.
  147. Byun, Sung Je, 2016. "The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 162-180.
  148. Chelley-Steeley, Patricia L. & Lambertides, Neophytos & Steeley, James M., 2016. "Explaining turn of the year order flow imbalance," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 76-95.
  149. Saurabh Mishra & Sachin Modi, 2013. "Positive and Negative Corporate Social Responsibility, Financial Leverage, and Idiosyncratic Risk," Journal of Business Ethics, Springer, vol. 117(2), pages 431-448, October.
  150. Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng, 2012. "Extreme downside risk and expected stock returns," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1492-1502.
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