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Good Volatility, Bad Volatility, and the Cross Section of Stock Returns

Citations

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Cited by:

  1. Sangwon Suh & Eungyu Yoo & Sun‐Joong Yoon, 2021. "Stock market tail risk, tail risk premia, and return predictability," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1569-1596, October.
  2. Baruník, Jozef & Kurka, Josef, 2024. "Risks of heterogeneously persistent higher moments," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  3. Luo, Xin & Tao, Yunqing & Zou, Kai, 2022. "A new measure of realized volatility: Inertial and reverse realized semivariance," Finance Research Letters, Elsevier, vol. 47(PA).
  4. Chen, Yan & Zhang, Lei & Zhang, Feipeng, 2024. "Forecasting crude oil volatility and stock volatility: New evidence from the quantile autoregressive model," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  5. Hu, Nan & Yin, Xuebao & Yao, Yuhang, 2025. "A novel HAR-type realized volatility forecasting model using graph neural network," International Review of Financial Analysis, Elsevier, vol. 98(C).
  6. Xu, Zhiwei & Gou, Xinyi & Zhang, Teng, 2025. "Have the Chinese crude oil futures prices made a progress towards becoming the regional oil pricing benchmark? Empirical analysis from the asset pricing perspective," Energy Economics, Elsevier, vol. 145(C).
  7. Gaoxiu Qiao & Gongyue Jiang, 2023. "VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1238-1260, September.
  8. Chen, Yan & Qiao, Gaoxiu & Zhang, Feipeng, 2022. "Oil price volatility forecasting: Threshold effect from stock market volatility," Technological Forecasting and Social Change, Elsevier, vol. 180(C).
  9. Jiang, Hao & Li, Sophia Zhengzi & Yuan, Peixuan, 2025. "Granular information and sectoral movements," Journal of Economic Dynamics and Control, Elsevier, vol. 171(C).
  10. Liu, Yunting & Zhu, Yandi, 2025. "Good idiosyncratic volatility, bad idiosyncratic volatility, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 170(C).
  11. Li, Rui & Li, Jianping & Zhu, Xiaoqian, 2025. "Downside belief disagreements and financial instability: Evidence from risk factor disclosures in U.S. financial institutions’ 10-K filings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 99(C).
  12. Jozef Barunik & Mattia Bevilacqua & Michael Ellington, 2023. "Common Firm-level Investor Fears: Evidence from Equity Options," Papers 2309.03968, arXiv.org.
  13. Alexiou, Lykourgos & Rompolis, Leonidas S., 2024. "Jump tail risk exposure and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 79(C).
  14. Wang, Chuyu & Li, Junye, 2024. "Volatility-managed portfolios in the Chinese equity market," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
  15. Wang, Qingxia & Faff, Robert & Zhu, Min, 2022. "Realized moments and the cross-sectional stock returns around earnings announcements," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 408-427.
  16. Baur, Dirk G., 2022. "The Anna Karenina principle and stock prices," Journal of Behavioral and Experimental Finance, Elsevier, vol. 33(C).
  17. Yin, Libo & Cao, Hong, 2024. "Understanding climate policy uncertainty: Evidence from temporal and spatial domains," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  18. Alessio Brini & Jimmie Lenz, 2024. "A comparison of cryptocurrency volatility-benchmarking new and mature asset classes," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-38, December.
  19. Yuewen Xiao & Xiangkang Yin & Jing Zhao, 2020. "Jumps, News, And Subsequent Return Dynamics: An Intraday Study," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(3), pages 705-731, August.
  20. Zied Ftiti & Wael Louhichi & Hachmi Ben Ameur, 2023. "Cryptocurrency volatility forecasting: What can we learn from the first wave of the COVID-19 outbreak?," Annals of Operations Research, Springer, vol. 330(1), pages 665-690, November.
  21. Julien Chevallier & Bilel Sanhaji, 2023. "Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices," Stats, MDPI, vol. 6(4), pages 1-32, December.
  22. Xingguo Luo & Xiaoli Yu & Shihua Qin & Qi Xu, 2020. "Option trading and the cross‐listed stock returns: Evidence from Chinese A–H shares," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1665-1690, November.
  23. Xiao, Jihong & Wang, Yudong, 2022. "Good oil volatility, bad oil volatility, and stock return predictability," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 953-966.
  24. Xiao, Jihong & Jiang, Jiajie & Zhang, Yaojie, 2024. "Policy uncertainty, investor sentiment, and good and bad volatilities in the stock market: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
  25. Li Liu & Yudong Wang, 2021. "Forecasting aggregate market volatility: The role of good and bad uncertainties," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 40-61, January.
  26. Bo Yu & Bruce Mizrach & Norman R. Swanson, 2020. "New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section," Econometrics, MDPI, vol. 8(2), pages 1-52, May.
  27. Ahmed, Walid M.A., 2021. "How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
  28. Yuanzhi Wang & Xinbei Wei & Qunzi Zhang, 2025. "Asymmetric Commodity Tails and Index Futures Returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(3), pages 247-265, March.
  29. Bo Yu & Dayong Zhang & Qiang Ji, 2025. "Forecasting portfolio variance: a new decomposition approach," Annals of Operations Research, Springer, vol. 348(1), pages 543-578, May.
  30. Xu, Zhiwei & Wang, Xuefei & Zhang, Teng, 2024. "The international natural gas price and its cross-sectional pricing implication: Evidence from Chinese stock market," Energy, Elsevier, vol. 313(C).
  31. Jiang, Hao & Li, Sophia Zhengzi & Wang, Hao, 2021. "Pervasive underreaction: Evidence from high-frequency data," Journal of Financial Economics, Elsevier, vol. 141(2), pages 573-599.
  32. Božović, Miloš, 2024. "VIX-managed portfolios," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  33. Choi, Sun-Yong, 2024. "Sectoral responses to economic policy uncertainty and geopolitical risk in the US stock market," Journal of Multinational Financial Management, Elsevier, vol. 76(C).
  34. Jozef Barunik & Martin Hronec & Ondrej Tobek, 2024. "Forecasting stock return distributions around the globe with quantile neural networks," Papers 2408.07497, arXiv.org, revised Aug 2025.
  35. Dai, Yiming & Jiang, Yuexiang & Long, Huaigang & Wang, Hui & Zaremba, Adam, 2023. "Does realized skewness predict the cross-section of Chinese stock returns?," Finance Research Letters, Elsevier, vol. 58(PB).
  36. Sophia Zhengzi Li & Zeyao Luan, 2025. "News-based investor disagreement and stock returns," Review of Accounting Studies, Springer, vol. 30(3), pages 2312-2375, September.
  37. Chen, Xi & Wang, Junbo & Wu, Chunchi, 2022. "Jump and volatility risk in the cross-section of corporate bond returns," Journal of Financial Markets, Elsevier, vol. 60(C).
  38. Zhiyuan Pan & Yudong Wang & Li Liu, 2021. "Realized bipower variation, jump components, and option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1933-1958, December.
  39. Li, Bingxin & Li, Shenru, 2025. "Tail risk premium in the crude oil market," Energy Economics, Elsevier, vol. 144(C).
  40. Zhao, X. & Hong, S. Y. & Linton, O. B., 2024. "Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach," Cambridge Working Papers in Economics 2449, Faculty of Economics, University of Cambridge.
  41. Jian Chen & Michael P Clements & Andrew Urquhart, 2024. "Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 743-772.
  42. Zhang, Zehua & Zhao, Ran, 2023. "Good volatility, bad volatility, and the cross section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
  43. Annaert, Jan & De Ceuster, Marc & Van Cappellen, Jef, 2023. "Can average skewness really predict financial returns? The euro area case," Finance Research Letters, Elsevier, vol. 52(C).
  44. Wang, Feifei & Yan, Xuemin Sterling, 2021. "Downside risk and the performance of volatility-managed portfolios," Journal of Banking & Finance, Elsevier, vol. 131(C).
  45. Yun Xiang & Shijie Deng, 2025. "Long-range dependence and asset return anomaly," Annals of Operations Research, Springer, vol. 346(1), pages 369-391, March.
  46. Seema REHMAN & Saqib SHARIF & Wali ULLAH, 2023. "Relative Signed Jump and Future Stock Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 25-45, March.
  47. Qiao, Gaoxiu & Jiang, Gongyue & Yang, Jiyu, 2022. "VIX term structure forecasting: New evidence based on the realized semi-variances," International Review of Financial Analysis, Elsevier, vol. 82(C).
  48. Alessio Brini & Jimmie Lenz, 2024. "A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes," Papers 2404.04962, arXiv.org.
  49. Lee, Suzanne S., 2023. "The role of idiosyncratic jumps in stock markets," Journal of Financial Markets, Elsevier, vol. 64(C).
  50. Zhou, Dong-hai & Liu, Xiao-xing, 2023. "Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  51. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2022. "Realized semibetas: Disentangling “good” and “bad” downside risks," Journal of Financial Economics, Elsevier, vol. 144(1), pages 227-246.
  52. Baruník, Jozef & Čech, František, 2021. "Measurement of common risks in tails: A panel quantile regression model for financial returns," Journal of Financial Markets, Elsevier, vol. 52(C).
  53. James W. Kolari & Jianhua Z. Huang & Wei Liu & Huiling Liao, 2022. "Further Tests of the ZCAPM Asset Pricing Model," JRFM, MDPI, vol. 15(3), pages 1-23, March.
  54. Wang, Zhenxin & Wang, Shaoping & Yan, Yayi & Xia, Yingcun, 2025. "Examining Chinese volume–volatility nexus: A regime-switching perspective," Economic Modelling, Elsevier, vol. 144(C).
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