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Idiosyncratic Volatility and the Cross Section of Expected Returns

Citations

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Cited by:

  1. 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.
  2. 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.
  3. Turan G. Bali & Armen Hovakimian, 2009. "Volatility Spreads and Expected Stock Returns," Management Science, INFORMS, vol. 55(11), pages 1797-1812, November.
  4. Chen, Honghui & Zheng, Minrong, 2021. "IPO underperformance and the idiosyncratic risk puzzle," Journal of Banking & Finance, Elsevier, vol. 131(C).
  5. Suzanne G. M. Fifield & David G. McMillan & Fiona J. McMillan, 2020. "Is there a risk and return relation?," The European Journal of Finance, Taylor & Francis Journals, vol. 26(11), pages 1075-1101, July.
  6. 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.
  7. Daniel Jubinski & Marc Tomljanovich, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, John Wiley & Sons, vol. 22(3), pages 86-97, September.
  8. 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.
  9. 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).
  10. Liu, Hao & Chen, Yue & Wan, Wei & Zhang, Qun, 2021. "A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective," Economics Letters, Elsevier, vol. 206(C).
  11. Becchetti, Leonardo & Ciciretti, Rocco & Hasan, Iftekhar, 2015. "Corporate social responsibility, stakeholder risk, and idiosyncratic volatility," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 297-309.
  12. Vo, Xuan Vinh & Phan, Dang Bao Anh, 2019. "Herd behavior and idiosyncratic volatility in a frontier market," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 321-330.
  13. Alexander Barinov, 2025. "On the Robustness of Idiosyncratic Volatility Effect," Management Science, INFORMS, vol. 71(3), pages 2565-2582, March.
  14. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  15. Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis, 2012. "Asset pricing with idiosyncratic risk: The Spanish case," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 261-271.
  16. Vasiliki A. Basdekidou, 2017. "The Momentum & Trend-Reversal as Temporal Market Anomalies," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(5), pages 1-19, May.
  17. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
  18. Poon, Percy & Yao, Tong & Zhang, Andrew (Jianzhong), 2022. "The alphas of beta and idiosyncratic volatility," Journal of Financial Markets, Elsevier, vol. 61(C).
  19. Ana Isabel Ramos Domingues & António de Melo da Costa Cerqueira & Elísio Fernando Moreira Brandão, 2016. "Idiosyncratic Volatility and Earnings Quality: Evidence from United Kingdom," FEP Working Papers 579, Universidade do Porto, Faculdade de Economia do Porto.
  20. Szu-Yin Hung & John Glascock, 2010. "Volatilities and Momentum Returns in Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 126-149, August.
  21. Turan G. Bali & Florian Weigert, 2018. "Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?," Working Papers on Finance 1827, University of St. Gallen, School of Finance.
  22. Jiang, Danling & Peterson, David R. & Doran, James S., 2014. "Short-sale constraints and the idiosyncratic volatility puzzle: An event study approach," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 36-59.
  23. Zhu, Zhaobo & Ding, Wenjie & Jin, Yi & Shen, Dehua, 2023. "Dissecting the idiosyncratic volatility puzzle: A fundamental analysis approach," Research in International Business and Finance, Elsevier, vol. 66(C).
  24. 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.
  25. Kiseok Nam & Shahriar Khaksari & Moonsoo Kang, 2017. "Trend in aggregate idiosyncratic volatility," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 11-28, November.
  26. Zhong, Angel, 2018. "Idiosyncratic volatility in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 105-125.
  27. Han, Jianlei & Pan, Zheyao & Zhang, Guangli, 2017. "Divergence of opinion and long-run performance of private placements: evidence from the auction market," Working Papers 2017-09, University of Tasmania, Tasmanian School of Business and Economics.
  28. Xiang, Yun & He, Jiaxuan, 2022. "Pairs trading and asset pricing," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
  29. Ahn, Yongkil & Kim, Dongyeon, 2021. "Emotional trading in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 42(C).
  30. Hasan, Mostafa Monzur & Habib, Ahsan, 2017. "Firm life cycle and idiosyncratic volatility," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 164-175.
  31. Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2009. "Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns," NBER Working Papers 14804, National Bureau of Economic Research, Inc.
  32. Tulsyan, Divya P. & Joshipura, Mayank & Mishra, Anil V., 2025. "Does profitability explain the low-risk anomaly in India?," The Quarterly Review of Economics and Finance, Elsevier, vol. 104(C).
  33. 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.
  34. Duan, Ying & Hu, Gang & McLean, R. David, 2010. "Costly arbitrage and idiosyncratic risk: Evidence from short sellers," Journal of Financial Intermediation, Elsevier, vol. 19(4), pages 564-579, October.
  35. Zhong, Angel & Gray, Philip, 2016. "The MAX effect: An exploration of risk and mispricing explanations," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 76-90.
  36. Fischer, Marcel & Gallmeyer, Michael F., 2016. "Heuristic portfolio trading rules with capital gain taxes," Journal of Financial Economics, Elsevier, vol. 119(3), pages 611-625.
  37. Jiang, Rui & Wen, Conghua & Zhang, Ruonan & Cui, Yu, 2022. "Investor's herding behavior in Asian equity markets during COVID-19 period," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  38. 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.
  39. Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2022. "Momentum and the Cross-section of Stock Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  40. 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.
  41. Nektarios Aslanidis & Charlotte Christiansen & Neophytos Lambertides & Christos S. Savva, 2019. "Idiosyncratic volatility puzzle: influence of macro-finance factors," Review of Quantitative Finance and Accounting, Springer, vol. 52(2), pages 381-401, February.
  42. 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.
  43. Switzer, Lorne N. & Tahaoglu, Cagdas & Zhao, Yun, 2017. "Volatility measures as predictors of extreme returns," Review of Financial Economics, Elsevier, vol. 35(C), pages 1-10.
  44. Christian Walkshäusl, 2013. "The high returns to low volatility stocks are actually a premium on high quality firms," Review of Financial Economics, John Wiley & Sons, vol. 22(4), pages 180-186, November.
  45. 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.
  46. 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.
  47. Gan, Christopher & Nartea, Gilbert V. & Wu, Ji (George), 2018. "Predictive ability of low-frequency volatility measures: Evidence from the Hong Kong stock markets," Finance Research Letters, Elsevier, vol. 26(C), pages 40-46.
  48. 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.
  49. Vasiliki A. Basdekidou & Artemis A. Styliadou, 2017. "Corporate Social Responsibility & Market Volatility: Relationship and Trading Opportunities," International Business Research, Canadian Center of Science and Education, vol. 10(5), pages 1-12, May.
  50. Robert Novy-Marx, 2014. "Understanding Defensive Equity," NBER Working Papers 20591, National Bureau of Economic Research, Inc.
  51. Qadan, Mahmoud, 2019. "Risk appetite, idiosyncratic volatility and expected returns," International Review of Financial Analysis, Elsevier, vol. 65(C).
  52. Obrimah, Oghenovo A., 2023. "Outside of a sole globally risk averse agent, all other agents in markets are risk seeking agents," Finance Research Letters, Elsevier, vol. 54(C).
  53. Wan-Ni Lai & Yi-Ting Chen & Edward W. Sun, 2021. "Comonotonicity and low volatility effect," Annals of Operations Research, Springer, vol. 299(1), pages 1057-1099, April.
  54. Ciciretti, Rocco & Dalò, Ambrogio & Dam, Lammertjan, 2023. "The contributions of betas versus characteristics to the ESG premium," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 104-124.
  55. Gurudeo Anand Tularam & Rajibur Reza, 2016. "Water exchange traded funds: A study on idiosyncratic risk using Markov switching analysis," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1139437-113, December.
  56. 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.
  57. Hou, Kewei & Xue, Chen & Zhang, Lu, 2017. "Replicating Anomalies," Working Paper Series 2017-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  58. Kaczmarek, Tomasz & Demir, Ender & Rouatbi, Wael & Zaremba, Adam, 2025. "Tariff exposure and sectoral vulnerability: Evidence from equity market responses to the 2025 U.S. trade shock," Research in International Business and Finance, Elsevier, vol. 77(PB).
  59. Aissia, Dorsaf Ben, 2014. "IPO first-day returns: Skewness preference, investor sentiment and uncertainty underlying factors," Review of Financial Economics, Elsevier, vol. 23(3), pages 148-154.
  60. Li An & Huijun Wang & Jian Wang & Jianfeng Yu, 2020. "Lottery-Related Anomalies: The Role of Reference-Dependent Preferences," Management Science, INFORMS, vol. 66(1), pages 473-501, January.
  61. Turan G. Bali & Lin Peng & Yannan Shen & Yi Tang, 2013. "Liquidity Shocks and Stock Market Reactions," Koç University-TUSIAD Economic Research Forum Working Papers 1304, Koc University-TUSIAD Economic Research Forum.
  62. 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).
  63. Bao, Te & Diks, Cees & Li, Hao, 2018. "A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction," Economic Modelling, Elsevier, vol. 68(C), pages 611-621.
  64. Brooks, Chris & Godfrey, Chris & Hillenbrand, Carola & Money, Kevin, 2016. "Do investors care about corporate taxes?," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 218-248.
  65. Liu, Hao & Zhang, Qun, 2021. "Firm age and realized idiosyncratic return volatility in China: The role of short-sales constraints," International Review of Financial Analysis, Elsevier, vol. 75(C).
  66. 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.
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  68. Mardi Dungey & Moses Kangogo & Vladimir Volkov, 2022. "Dynamic effects of network exposure on equity markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 569-629, December.
  69. Dittmann, Ingolf & Montone, Maurizio & Zhu, Yuhao, 2023. "Wage gap and stock returns: Do investors dislike pay inequality?," Journal of Corporate Finance, Elsevier, vol. 78(C).
  70. 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.
  71. Boehme, Rodney & Çolak, Gönül, 2012. "Primary market characteristics and secondary market frictions of stocks," Journal of Financial Markets, Elsevier, vol. 15(2), pages 286-327.
  72. 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.
  73. Geert Bekaert & Xue Wang & Xiaoyan Zhang, 2025. "The International Commonality of Idiosyncratic Variances," Management Science, INFORMS, vol. 71(3), pages 2216-2244, March.
  74. Hsu, Ching-Chi & Chen, Miao-Ling, 2018. "Timing of advertising and the MAX effect," Journal of Behavioral and Experimental Finance, Elsevier, vol. 20(C), pages 105-114.
  75. Xufeng Liu & Die Wan, 2022. "Does short‐selling affect mutual fund shareholdings? Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(S1), pages 1887-1923, April.
  76. Sujan Adhikari & Pawan Kumar Jha, Ph.D., 2016. "Applicability of Portfolio Theory in Nepali Stock Market," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 28(1), pages 65-92, April.
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  83. Florackis, Chris & Kanas, Angelos & Kostakis, Alexandros & Sainani, Sushil, 2020. "Idiosyncratic risk, risk-taking incentives and the relation between managerial ownership and firm value," European Journal of Operational Research, Elsevier, vol. 283(2), pages 748-766.
  84. Dutt, Tanuj & Humphery-Jenner, Mark, 2013. "Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 999-1017.
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  87. Eric Renault & Thijs Van Der & Bas J M Werker, 2023. "Arbitrage Pricing Theory for Idiosyncratic Variance Factors," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1403-1442.
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  99. Caglayan, Mustafa Onur & Xue, Wenjun & Zhang, Liwen, 2020. "Global investigation on the country-level idiosyncratic volatility and its determinants," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 143-160.
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  108. Jubinski, Daniel & Tomljanovich, Marc, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, Elsevier, vol. 22(3), pages 86-97.
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  122. Yukun Liu & Aleh Tsyvinski & Xi Wu, 2022. "Common Risk Factors in Cryptocurrency," Journal of Finance, American Finance Association, vol. 77(2), pages 1133-1177, April.
  123. Hyungshin Park & Dimitris Vrettos, 2015. "The Moderating Effect of Relative Performance Evaluation on the Risk Incentive Properties of Executives’ Equity Portfolios," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 53(5), pages 1055-1108, December.
  124. Rajnish Mehra & Sunil Wahal & Daruo Xie, 2021. "Is idiosyncratic risk conditionally priced?," Quantitative Economics, Econometric Society, vol. 12(2), pages 625-646, May.
  125. 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.
  126. Turan G. Bali & Andriy Bodnaruk & Anna Scherbina & Yi Tang, 2018. "Unusual News Flow and the Cross Section of Stock Returns," Management Science, INFORMS, vol. 64(9), pages 4137-4155, September.
  127. Alexander Kempf & Olaf Korn & Sven Saßning, 2015. "Portfolio Optimization Using Forward-Looking Information," Review of Finance, European Finance Association, vol. 19(1), pages 467-490.
  128. Wang, Jianqiu & Wu, Ke & Pan, Jiening, 2024. "On the conditional performance of the IVOL anomaly," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 337-350.
  129. Wang, Jianqiu & Wu, Ke & Pan, Jiening & Jiang, Ying, 2023. "Disagreement, speculation, and the idiosyncratic volatility," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 232-250.
  130. Egginton, Jared & Hur, Jungshik, 2018. "The robust “maximum daily return effect as demand for lottery” and “idiosyncratic volatility puzzle”," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 229-245.
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