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Return Reversals, Idiosyncratic Risk, and Expected Returns

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Cited by:

  1. 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.
  2. Zhang, Chuanguo & Chen, Xiaoqing, 2011. "The impact of global oil price shocks on China’s stock returns: Evidence from the ARJI(-ht)-EGARCH model," Energy, Elsevier, vol. 36(11), pages 6627-6633.
  3. 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).
  4. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
  5. Michael T. Chng & Victor Fang & Vincent Xiang & Hong Feng Zhang, 2017. "Corporate Hedging and the High Idiosyncratic Volatility Low Return Puzzle," International Review of Finance, International Review of Finance Ltd., vol. 17(3), pages 395-425, September.
  6. Bajgrowicz, Pierre & Scaillet, Olivier, 2012. "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, vol. 106(3), pages 473-491.
  7. Zhong, Angel, 2018. "Idiosyncratic volatility in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 105-125.
  8. 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.
  9. 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.
  10. Hueng, C. James & Yau, Ruey, 2013. "Country-specific idiosyncratic risk and global equity index returns," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 326-337.
  11. Cao, Jie & Han, Bing, 2013. "Cross section of option returns and idiosyncratic stock volatility," Journal of Financial Economics, Elsevier, vol. 108(1), pages 231-249.
  12. John Y. Campbell & Martin Lettau & Burton Malkiel & Yexiao Xu, 2023. "Idiosyncratic Equity Risk Two Decades Later," Critical Finance Review, now publishers, vol. 12(1-4), pages 203-223, August.
  13. Cotter, John & Sullivan, Niall O' & Rossi, Francesco, 2015. "The conditional pricing of systematic and idiosyncratic risk in the UK equity market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 184-193.
  14. Bali, Turan G. & Gunaydin, A. Doruk & Jansson, Thomas & Karabulut, Yigitcan, 2023. "Do the rich gamble in the stock market? Low risk anomalies and wealthy households," Journal of Financial Economics, Elsevier, vol. 150(2).
  15. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
  16. 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.
  17. Xiaoli Wang, 2017. "Will firm quality determine the relationship between stock return and idiosyncratic volatility? A new investigation of idiosyncratic volatility," Journal of Asset Management, Palgrave Macmillan, vol. 18(5), pages 388-404, September.
  18. Mihov, Atanas & Naranjo, Andy, 2017. "Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 73-100.
  19. Fenner, Richard G. & Han, Yufeng & Huang, Zhaodan, 2020. "Idiosyncratic volatility shocks, behavior bias, and cross-sectional stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 276-293.
  20. Lee, Seunghyup, 2022. "Political orientation and compensation for idiosyncratic risk," Economics Letters, Elsevier, vol. 218(C).
  21. Gerlach, Richard & Obaydin, Ivan & Zurbruegg, Ralf, 2015. "The impact of leverage on the idiosyncratic risk and return relationship of REITs around the financial crisis," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 207-219.
  22. Vitali Alexeev & Katja Ignatieva, 2021. "Biases in variance of decomposed portfolio returns," International Review of Finance, International Review of Finance Ltd., vol. 21(4), pages 1152-1178, December.
  23. Nath, Harmindar B. & Brooks, Robert D., 2015. "Assessing the idiosyncratic risk and stock returns relation in heteroskedasticity corrected predictive models using quantile regression," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 94-111.
  24. 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.
  25. Simlai, Prodosh, 2014. "Persistence of ex-ante volatility and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 253-261.
  26. Patrick Bielstein, 2018. "International asset allocation using the market implied cost of capital," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(1), pages 17-51, February.
  27. Guo, Hui & Jiang, Xiaowen, 2021. "Aggregate Distress Risk and Equity Returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
  28. Doran, James & Jiang, Danling & Peterson, David, 2007. "Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle," MPRA Paper 4995, University Library of Munich, Germany.
  29. Berrada, Tony & Hugonnier, Julien, 2013. "Incomplete information, idiosyncratic volatility and stock returns," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 448-462.
  30. Stephen Bahadar & Muhammad Nadeem & Rashid Zaman, 2023. "Toxic chemical releases and idiosyncratic return volatility: A prospect theory perspective," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2109-2143, June.
  31. Xiang Zhang & Han Zhou, 2020. "Leverage structure and stock price synchronicity: Evidence from China," PLOS ONE, Public Library of Science, vol. 15(7), pages 1-15, July.
  32. Annaert, Jan & Mensah, Lord, 2014. "Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914)," Explorations in Economic History, Elsevier, vol. 52(C), pages 22-43.
  33. Cao, Jie & Han, Bing, 2016. "Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 1-15.
  34. 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.
  35. 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.
  36. 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.
  37. Gimeno, Ruth & Andreu, Laura & Sarto, José Luis, 2022. "Fund trading divergence and performance contribution," International Review of Financial Analysis, Elsevier, vol. 83(C).
  38. Zhaobo Zhu & Wenjie Ding & Yi Jin & Dehua Shen, 2023. "Dissecting the Idiosyncratic Volatility Puzzle: A Fundamental Analysis Approach," Post-Print hal-04194180, HAL.
  39. 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.
  40. Andy Fodor & Kevin Krieger & Nathan Mauck & Greg Stevenson, 2013. "Predicting Extreme Returns And Portfolio Management Implications," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(4), pages 471-492, December.
  41. 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.
  42. 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.
  43. Zhaobo Zhu & Licheng Sun & Jun Tu, 2021. "Earnings momentum meets short‐term return reversal," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 2379-2405, April.
  44. 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.
  45. Benoit Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The political reception of innovations," Cahiers de recherche 2107, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  46. 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.
  47. Jean-Sébastien Fontaine & René Garcia & Sermin Gungor, 2015. "Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns," Staff Working Papers 15-12, Bank of Canada.
  48. Berggrun, Luis & Lizarzaburu, Edmundo & Cardona, Emilio, 2016. "Idiosyncratic volatility and stock returns: Evidence from the MILA," Research in International Business and Finance, Elsevier, vol. 37(C), pages 422-434.
  49. Mu-Shun Wang, 2013. "Idiosyncratic Volatility and the Expected Stock Returns for Exploring the Relationship with Panel Threshold Regression," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(2), pages 113-129, May.
  50. 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.
  51. Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The RQE-CAPM : New insights about the pricing of idiosyncratic risk," CIRANO Working Papers 2021s-28, CIRANO.
  52. Haensly, Paul J., 2022. "Lessons from naïve diversification about the risk-reward trade-off," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  53. Lee, Bong Soo & Mauck, Nathan, 2016. "Dividend initiations, increases and idiosyncratic volatility," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 47-60.
  54. Su, Zhi & Shu, Tengjia & Yin, Libo, 2018. "The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 497(C), pages 218-235.
  55. Miffre, Joëlle & Brooks, Chris & Li, Xiafei, 2013. "Idiosyncratic volatility and the pricing of poorly-diversified portfolios," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 78-85.
  56. Kondor, Péter & Sadka, Ronnie & Kang, Namho, 2011. "Idiosyncratic Return Volatility in the Cross-Section of Stocks," CEPR Discussion Papers 8307, C.E.P.R. Discussion Papers.
  57. Hassen Raîs, 2016. "Idiosyncratic Risk and the Cross-Section of European Insurance Equity Returns," Post-Print hal-01764088, HAL.
  58. Lopatta, Kerstin & Kaspereit, Thomas, 2014. "The cross-section of returns, benchmark model parameters, and idiosyncratic volatility of nuclear energy firms after Fukushima Daiichi," Energy Economics, Elsevier, vol. 41(C), pages 125-136.
  59. Yong-Ho Cheon & Kuan-Hui Lee, 2018. "Maxing Out Globally: Individualism, Investor Attention, and the Cross Section of Expected Stock Returns," Management Science, INFORMS, vol. 64(12), pages 5807-5831, December.
  60. Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 427-446, February.
  61. Malagon, Juliana & Moreno, David & Rodríguez, Rosa, 2015. "The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 224-238.
  62. He, Zhongzhi & Xue, Wenjun, 2022. "Idiosyncratic volatility puzzle exists at the country level," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  63. Laura Arenas & Ana Maria Gil-Lafuente, 2021. "Regime Switching in High-Tech ETFs: Idiosyncratic Volatility and Return," Mathematics, MDPI, vol. 9(7), pages 1-25, March.
  64. Ajay Bhootra & Jungshik Hur, 2015. "High Idiosyncratic Volatility and Low Returns: A Prospect Theory Explanation," Financial Management, Financial Management Association International, vol. 44(2), pages 295-322, June.
  65. Aboulamer, Anas & Kryzanowski, Lawrence, 2016. "Are idiosyncratic volatility and MAX priced in the Canadian market?," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 20-36.
  66. Nina Ryan & Xinfeng Ruan & Jin E. Zhang & Jing A. Zhang, 2021. "Choosing Factors for the Vietnamese Stock Market," JRFM, MDPI, vol. 14(3), pages 1-23, February.
  67. Wang, Zijun, 2021. "The high volume return premium and economic fundamentals," Journal of Financial Economics, Elsevier, vol. 140(1), pages 325-345.
  68. Poon, Percy & Yao, Tong & Zhang, Andrew (Jianzhong), 2022. "The alphas of beta and idiosyncratic volatility," Journal of Financial Markets, Elsevier, vol. 61(C).
  69. 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.
  70. Hasan, Mostafa Monzur & Habib, Ahsan, 2017. "Firm life cycle and idiosyncratic volatility," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 164-175.
  71. 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.
  72. 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.
  73. 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.
  74. 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).
  75. 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.
  76. Gong, Yuting & He, Zhongzhi & Xue, Wenjun, 2022. "EPU spillovers and stock return predictability: A cross-country study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  77. Cheon, Yong-Ho & Lee, Kuan-Hui, 2018. "Time variation of MAX-premium with market volatility: Evidence from Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 32-46.
  78. Mohrschladt, Hannes & Langer, Thomas, 2020. "Biased information weight processing in stock markets," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 89-106.
  79. Ivelina Pavlova & A. M. Parhizgari, 2011. "In search of momentum profits: are they illusory?," Applied Financial Economics, Taylor & Francis Journals, vol. 21(21), pages 1617-1639.
  80. Yunting Liu, 2022. "The Short-Run and Long-Run Components of Idiosyncratic Volatility and Stock Returns," Management Science, INFORMS, vol. 68(2), pages 1573-1589, February.
  81. Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2018. "Global idiosyncratic risk moments," Empirical Economics, Springer, vol. 55(2), pages 731-764, September.
  82. Kyung Shim & Harjoat Bhamra, 2015. "Stochastic Idiosyncratic Operating Risk and Real Options: Implications for Stock Returns," 2015 Meeting Papers 1494, Society for Economic Dynamics.
  83. Jie Cao & Tarun Chordia & Xintong Zhan, 2021. "The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days?," Management Science, INFORMS, vol. 67(12), pages 7866-7887, December.
  84. Zhiyao Chen & Ilya A. Strebulaev & Yuhang Xing & Xiaoyan Zhang, 2021. "Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle: An Empirical Investigation," Management Science, INFORMS, vol. 67(5), pages 2751-2772, May.
  85. Jennie Bai & Turan G. Bali & Quan Wen, 2019. "Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence," NBER Working Papers 25995, National Bureau of Economic Research, Inc.
  86. Bai, Jennie & Bali, Turan G. & Wen, Quan, 2021. "Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1017-1037.
  87. Bo Li & Sabri Boubaker & Zhenya Liu & Waël Louhichi & Yao Yao, 2023. "Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 527-559, August.
  88. Garcia, René & Mantilla-García, Daniel & Martellini, Lionel, 2014. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1133-1165, December.
  89. Xiaoye Jin, 2022. "Evaluating the predictive power of intraday technical trading in China's crude oil market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1416-1432, November.
  90. Joshua Traut, 2023. "What we know about the low-risk anomaly: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 297-324, September.
  91. Brockman, Paul & Guo, Tao & Vivero, Maria Gabriela & Yu, Wayne, 2022. "Is idiosyncratic risk priced? The international evidence," Journal of Empirical Finance, Elsevier, vol. 66(C), pages 121-136.
  92. Haensly, Paul J., 2020. "Risk decomposition, estimation error, and naïve diversification," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  93. 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.
  94. Chen, Honghui & Zheng, Minrong, 2021. "IPO underperformance and the idiosyncratic risk puzzle," Journal of Banking & Finance, Elsevier, vol. 131(C).
  95. Jin, Xiaoye, 2022. "Performance of intraday technical trading in China’s gold market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
  96. 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).
  97. Guo, Hui & Qiu, Buhui, 2014. "Options-implied variance and future stock returns," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 93-113.
  98. Lorne Switzer & Alan Picard, 2015. "Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 19(3), pages 169-221, September.
  99. Samuel Xin Liang, 2019. "What drives stock returns in Japan?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 39-69, March.
  100. Son, Nguyen Truong & Nguyen, Nhat Minh, 2019. "Prospect theory value and idiosyncratic volatility: Evidence from the Korean stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 21(C), pages 113-122.
  101. Peterson, David R. & Smedema, Adam R., 2011. "The return impact of realized and expected idiosyncratic volatility," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2547-2558, October.
  102. Seshadri Tirunillai & Gerard J. Tellis, 2012. "Does Chatter Really Matter? Dynamics of User-Generated Content and Stock Performance," Marketing Science, INFORMS, vol. 31(2), pages 198-215, March.
  103. 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.
  104. 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.
  105. 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.
  106. Xiao, Xiao & Zhou, Chen, 2018. "The decomposition of jump risks in individual stock returns," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 207-228.
  107. Ruiqi Rich Zhu & Cheng He & Yu Jeffrey Hu, 2023. "The Effect of Product Recommendations on Online Investor Behaviors," Papers 2303.14263, arXiv.org, revised Nov 2023.
  108. Chen, Linda H. & Jiang, George J. & Xu, Danielle D. & Yao, Tong, 2020. "Dissecting the idiosyncratic volatility anomaly," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 193-209.
  109. Jungshik Hur & Vivek Singh, 2022. "The role of investor attention in idiosyncratic volatility puzzle and new results," Review of Quantitative Finance and Accounting, Springer, vol. 58(1), pages 409-434, January.
  110. George J. Jiang & Andrew Jianzhong Zhang, 2013. "The Shrinking Space For Anomalies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(3), pages 299-324, September.
  111. Hai, Hoang Van & Park, Jong Won & Tsai, Ping-Chen & Eom, Cheoljun, 2020. "Lottery mindset, mispricing and idiosyncratic volatility puzzle: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  112. Kuo, Ya-Fen & Lin, Yi-Mien & Chien, Hsiu-Fang, 2021. "Corporate social responsibility, enterprise risk management, and real earnings management: Evidence from managerial confidence," Finance Research Letters, Elsevier, vol. 41(C).
  113. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
  114. Shi, Yanlin & Liu, Wai-Man & Ho, Kin-Yip, 2016. "Public news arrival and the idiosyncratic volatility puzzle," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 159-172.
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