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Is information risk priced? Evidence from abnormal idiosyncratic volatility

Citations

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  1. Huang, Zihuang & Wang, Shaokun & Li, Kaifeng, 2025. "The impact of informed trading on liquidity in Chinese crude oil futures," Energy Economics, Elsevier, vol. 150(C).
  2. Oguz Ersan & Montasser Ghachem, 2024. "Identifying Information Types in the Estimation of Informed Trading: An Improved Algorithm," JRFM, MDPI, vol. 17(9), pages 1-20, September.
  3. Lin, Mei-Chen, 2023. "Time-varying MAX preference: Evidence from revenue announcements," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  4. Iqbal, Muhammad Sabeeh & Salih, Aslihan & Akdeniz, Levent, 2023. "Institutions and the book-to-market effect: The role of investment horizon," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 140-153.
  5. Duanmu, Jun & Hur, Jungshik & Li, Yongjia, 2024. "Diversification and idiosyncratic volatility puzzle: Evidence from ETFs," Research in International Business and Finance, Elsevier, vol. 71(C).
  6. 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).
  7. Yue Fang & Tianyu Hou & Qin Su & Raymond Y.K. Lau, 2025. "Managing firm risk: supply chain board members and the contingent effects of firm network architectures," Information Technology and Management, Springer, vol. 26(4), pages 573-591, December.
  8. Abuelfadl, Moustafa & Yamani, Ehab, 2025. "The response of emerging financial markets to IMF news during COVID-19 pandemic11We are grateful for the comments and suggestions of Ali Kutan, Kate Phylaktis, Mahmoud Mohieldin and Galina Hale," International Review of Economics & Finance, Elsevier, vol. 101(C).
  9. Robert Czech & Pasquale Della Corte & Shiyang Huang & Tianyu Wang, 2022. "FX option volume," Bank of England working papers 964, Bank of England.
  10. Vincent Bogousslavsky & Vyacheslav Fos & Dmitriy Muravyev, 2024. "Informed Trading Intensity," Journal of Finance, American Finance Association, vol. 79(2), pages 903-948, April.
  11. Chen, Xing & Wu, Chongfeng, 2022. "Retail investor attention and information asymmetry: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
  12. Chao Gao & Grace Xing Hu & Xiaoyan Zhang, 2026. "Uncertainty Risk Resolution Before Earnings Announcements," Management Science, INFORMS, vol. 72(3), pages 1835-1857, March.
  13. Zhang, Teng & Li, Jiaqi & Xu, Zhiwei, 2024. "Speculative trading, stock returns and asset pricing anomalies," Emerging Markets Review, Elsevier, vol. 61(C).
  14. Xu, Zhixiang & Liu, Dehong & Li, Yushu & Guo, Fanyu, 2025. "ESG and Stock Price Volatility Risk: Evidence from Chinese A-share Market," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
  15. Makrychoriti, Panagiota & Pyrgiotakis, Emmanouil G., 2024. "Firm-level political risk and stock price crashes," Journal of Financial Stability, Elsevier, vol. 74(C).
  16. Nguyen, Justin Hung & Truong, Cameron & Zhang, Bohui, 2025. "The price of carbon risk: Evidence from the Kyoto Protocol ratification," Journal of Environmental Economics and Management, Elsevier, vol. 130(C).
  17. Jan Hanousek & Hoje Jo & Christos Pantzalis & Jung Chul Park, 2023. "A Dilemma of Self-interest vs. Ethical Responsibilities in Political Insider Trading," Journal of Business Ethics, Springer, vol. 187(1), pages 137-167, September.
  18. Lof, Matthijs & van Bommel, Jos, 2023. "Asymmetric information and the distribution of trading volume," Journal of Corporate Finance, Elsevier, vol. 82(C).
  19. Liao, Gaoke & Li, Yanling & Wang, Mengxin, 2024. "Contagion network of idiosyncratic volatility: Does corporate environmental responsibility matter?," Energy Economics, Elsevier, vol. 129(C).
  20. Feng He & Hanyu Du & Youwei Li & Jing Hao, 2025. "Make it Right: Regulatory Intervention in Managers’ Misconduct and Corporate Risk," Journal of Business Ethics, Springer, vol. 202(1), pages 73-95, November.
  21. He, Feng & Liu, Guanchun & Hao, Jing & Li, Youwei, 2023. "CSR performance and firm idiosyncratic risk in a data-rich environment: The role of retail investor attention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
  22. Chen, Shaoling & Wu, Jun & Liang, Weijuan & Yang, Haisheng, 2025. "News shock, limited institutional attention and stock market response: Evidence from China," Journal of Asian Economics, Elsevier, vol. 100(C).
  23. Fang, Tong & Liu, Peng & Su, Zhi, 2026. "Global trade network and the cross-section of international stock market returns," Journal of International Money and Finance, Elsevier, vol. 161(C).
  24. Abuelfadl, Moustafa & Yamani, Ehab, 2021. "Currency news and international bond markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  25. Jan Hanousek Jr. & Jan Hanousek & Konstantin Sokolov, 2023. "X Bots and Earnings Announcements," MENDELU Working Papers in Business and Economics 2023-92, Mendel University in Brno, Faculty of Business and Economics.
  26. Amanjot Singh & Harminder Singh & Venura Welagedara, 2024. "Aggregate uncertainty, information acquisition, and analyst stock recommendations," International Review of Finance, International Review of Finance Ltd., vol. 24(4), pages 604-640, December.
  27. Chi, Yeguang & He, Jingbin & Wu, Fei & Yin, Bijiao, 2022. "Optimal information production of mutual funds: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 143(C).
  28. Chu, Gang & Goodell, John W. & Li, Xiao & Zhang, Yongjie, 2021. "Long-term impacts of index reconstitutions: Evidence from the CSI 300 additions and deletions," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
  29. Xianfeng Hao & Shujing Wang & Yudong Wang & Liangyu Wu, 2025. "Is Information Risk Priced? New Evidence from Outer Space," Management Science, INFORMS, vol. 71(9), pages 7707-7730, September.
  30. Duc Huynh, Toan Luu & Burggraf, Tobias & Wang, Mei, 2020. "Gold, platinum, and expected Bitcoin returns," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
  31. Liu, Sha & Han, Jingguang, 2020. "Media tone and expected stock returns," International Review of Financial Analysis, Elsevier, vol. 70(C).
  32. Jan Hanousek & Christos Pantzalis & Jung Chul Park, 2021. "Political Insider Trading: A narrow versus comprehensive approach," MENDELU Working Papers in Business and Economics 2021-77, Mendel University in Brno, Faculty of Business and Economics.
  33. Fang, Hao & Yang, J. Jimmy, 2025. "Foreign institutional investor herding and ESG ratings," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).
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