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A Reexamination of the Causes of Time-Varying Stock Return Volatilities

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Cited by:

  1. Umar Butt & Trevor William Chamberlain, 2023. "Blockholdings, Dividend Policy, Stock Returns and Return Volatility: Evidence from the UAE," IJFS, MDPI, vol. 11(4), pages 1-13, October.
  2. Guidolin, Massimo & Ravazzolo, Francesco & Tortora, Andrea Donato, 2013. "Alternative econometric implementations of multi-factor models of the U.S. financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 87-111.
  3. Daniel Aobdia & Luminita Enache & Anup Srivastava, 2021. "Changes in Big N auditors’ client selection and retention strategies over time," Review of Quantitative Finance and Accounting, Springer, vol. 56(2), pages 715-754, February.
  4. Kryzanowski, Lawrence & Mohsni, Sana, 2015. "Earnings forecasts and idiosyncratic volatilities," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 107-123.
  5. Yang, Yung Chiang & Zhang, Bohui & Zhang, Chu, 2020. "Is information risk priced? Evidence from abnormal idiosyncratic volatility," Journal of Financial Economics, Elsevier, vol. 135(2), pages 528-554.
  6. Håkan Jankensgård & Anders Vilhelmsson, 2018. "The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence," Financial Management, Financial Management Association International, vol. 47(1), pages 55-79, March.
  7. Zura Kakushadze, 2015. "Heterotic Risk Models," Papers 1508.04883, arXiv.org, revised Jan 2016.
  8. Nartea, Gilbert V. & Wu, Ji, 2013. "Is there a volatility effect in the Hong Kong stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 119-135.
  9. Xiaofei Zhao, 2017. "Does Information Intensity Matter for Stock Returns? Evidence from Form 8-K Filings," Management Science, INFORMS, vol. 63(5), pages 1382-1404, May.
  10. Nejad, Ali Ebrahim & Hoseinzade, Saeid, 2021. "Idiosyncratic return volatility and the role of firm fundamentals: A cross-country analysis," Global Finance Journal, Elsevier, vol. 50(C).
  11. Luminita Enache & Anup Srivastava, 2018. "Should Intangible Investments Be Reported Separately or Commingled with Operating Expenses? New Evidence," Management Science, INFORMS, vol. 64(7), pages 3446-3468, July.
  12. Zhu, Lin & Chen, Qinyuan & Yang, Shengzhi & Yi, Zhihong, 2021. "The role of analysts in negative information production and disclosure: Evidence from short selling deregulation in an emerging market," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 391-406.
  13. 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.
  14. Xue, Wenjun & He, Zhongzhi & Hu, Yu, 2021. "The stabilizing effects of pension funds vs. mutual funds on country-specific market risk," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
  15. Zura Kakushadze & Willie Yu, 2016. "Statistical Risk Models," Papers 1602.08070, arXiv.org, revised Jan 2017.
  16. 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.
  17. Randall Morck & Bernard Yeung & Wayne Yu, 2013. "R-squared and the Economy," NBER Working Papers 19017, National Bureau of Economic Research, Inc.
  18. Maoguo Wu & Hanyang Zhang & Kwok-Leung Tam, 2017. "Did the Introduction of Securities Margin Trading Decrease China¡¯s A-Share Market Volatility?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(3), pages 135-141, July.
  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. Zura Kakushadze, 2014. "Russian-Doll Risk Models," Papers 1412.4342, arXiv.org, revised Nov 2017.
  21. Gu, Leilei & Li, Xiaoyu & Peng, Yuchao & Zhou, Junnan, 2022. "Voluntary CEO turnover, online information, and idiosyncratic volatility," Finance Research Letters, Elsevier, vol. 49(C).
  22. Anup Srivastava & Senyo Y. Tse, 2016. "Why Are Successive Cohorts of Listed Firms Persistently Riskier?," European Financial Management, European Financial Management Association, vol. 22(5), pages 957-1000, November.
  23. Zhang, Zhuang & Chizema, Amon & Kuo, Jing-Ming & Zhang, Qingjing, 2022. "Managerial risk-reducing incentives and social and exchange capital," The British Accounting Review, Elsevier, vol. 54(6).
  24. Lam, Keith S.K. & Tam, Lewis H.K., 2011. "Liquidity and asset pricing: Evidence from the Hong Kong stock market," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2217-2230, September.
  25. Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2012. "Aggregate Idiosyncratic Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(6), pages 1155-1185, December.
  26. Girardin, Eric & Joyeux, Roselyne, 2013. "Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach," Economic Modelling, Elsevier, vol. 34(C), pages 59-68.
  27. Zura Kakushadze & Jim Kyung-Soo Liew, 2014. "Custom v. Standardized Risk Models," Papers 1409.2575, arXiv.org, revised May 2015.
  28. Zura Kakushadze & Jim Kyung-Soo Liew, 2015. "Custom v. Standardized Risk Models," Risks, MDPI, vol. 3(2), pages 1-27, May.
  29. Bijapur, Mohan, 2014. "What Drives Business Cycle Fluctuations: Aggregate or Idiosyncratic Uncertainty Shocks?," MPRA Paper 60361, University Library of Munich, Germany.
  30. Zura Kakushadze, 2014. "4-Factor Model for Overnight Returns," Papers 1410.5513, arXiv.org, revised Jun 2015.
  31. Doina C. Chichernea & Alex Petkevich & Blerina Bela Zykaj, 2015. "Idiosyncratic Volatility, Institutional Ownership, and Investment Horizon," European Financial Management, European Financial Management Association, vol. 21(4), pages 613-645, September.
  32. Zura Kakushadze & Willie Yu, 2016. "Multifactor Risk Models and Heterotic CAPM," Papers 1602.04902, arXiv.org, revised Mar 2016.
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