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Does Idiosyncratic Volatility Proxy for Risk Exposure?

Citations

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  1. Chen, Chun-Da & Demirer, Riza & Jategaonkar, Shrikant P., 2015. "Risk and return in the Chinese stock market: Does equity return dispersion proxy risk?," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 23-37.
  2. Poon, Percy & Yao, Tong & Zhang, Andrew (Jianzhong), 2022. "The alphas of beta and idiosyncratic volatility," Journal of Financial Markets, Elsevier, vol. 61(C).
  3. Zhong, Angel, 2018. "Idiosyncratic volatility in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 105-125.
  4. 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.
  5. Claudiu Vinte & Marcel Ausloos, 2022. "The Cross-Sectional Intrinsic Entropy. A Comprehensive Stock Market Volatility Estimator," Papers 2205.00104, arXiv.org.
  6. Rajnish Mehra & Sunil Wahal & Daruo Xie, 2021. "Is idiosyncratic risk conditionally priced?," Quantitative Economics, Econometric Society, vol. 12(2), pages 625-646, May.
  7. Bams, Dennis & Honarvar, Iman, 2021. "VIX and liquidity premium," International Review of Financial Analysis, Elsevier, vol. 74(C).
  8. Alessi, Lucia & Ossola, Elisa & Panzica, Roberto, 2023. "When do investors go green? Evidence from a time-varying asset-pricing model," International Review of Financial Analysis, Elsevier, vol. 90(C).
  9. 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.
  10. Zhen, Fang, 2025. "Market volatility and skewness risks in China," International Review of Economics & Finance, Elsevier, vol. 99(C).
  11. Shen, Junyan & Yu, Jianfeng & Zhao, Shen, 2017. "Investor sentiment and economic forces," Journal of Monetary Economics, Elsevier, vol. 86(C), pages 1-21.
  12. 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).
  13. 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).
  14. Liu, Shengnan & Kong, Ao & Gu, Rongbao & Guo, Wenjing, 2019. "Does idiosyncratic volatility matter? — Evidence from Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 393-401.
  15. Hou, Kewei & Loh, Roger K., 2016. "Have we solved the idiosyncratic volatility puzzle?," Journal of Financial Economics, Elsevier, vol. 121(1), pages 167-194.
  16. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
  17. Christopher P. Clifford & Jon A. Fulkerson & Russell Jame & Bradford D. Jordan, 2021. "Salience and Mutual Fund Investor Demand for Idiosyncratic Volatility," Management Science, INFORMS, vol. 67(8), pages 5234-5254, August.
  18. Kumari, Jyoti & Mahakud, Jitendra & Hiremath, Gourishankar S., 2017. "Determinants of idiosyncratic volatility: Evidence from the Indian stock market," Research in International Business and Finance, Elsevier, vol. 41(C), pages 172-184.
  19. Su, Xuan-Qi, 2016. "Does systematic distress risk drive the investment growth anomaly?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 240-248.
  20. Czapkiewicz, Anna & Wójtowicz, Tomasz & Zaremba, Adam, 2023. "Idiosyncratic risk and cross-section of stock returns in emerging European markets," Economic Modelling, Elsevier, vol. 124(C).
  21. Frederick Adjei & Mavis Adjei, 2017. "Market share, firm innovation, and idiosyncratic volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 569-580, July.
  22. Maik Dierkes & Sebastian Schroen, 2023. "Betting against sentiment? Seemingly unrelated anomalies and the low‐risk effect," Review of Financial Economics, John Wiley & Sons, vol. 41(2), pages 152-176, April.
  23. Kalnina, Ilze & Tewou, Kokouvi, 2025. "Cross-sectional dependence in idiosyncratic volatility," Journal of Econometrics, Elsevier, vol. 249(PB).
  24. Matthew W Clance & Riza Demirer & Rangan Gupta & Clement Kweku Kyei, 2020. "Predicting firm-level volatility in the United States: the role of monetary policy uncertainty," Economics and Business Letters, Oviedo University Press, vol. 9(3), pages 167-177.
  25. Christoffersen, Peter & Lunde, Asger & Olesen, Kasper V., 2019. "Factor Structure in Commodity Futures Return and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(3), pages 1083-1115, June.
  26. Satoshi Sakamaki, 2013. "The Securities-Correlation Risks and the Volatility Effects in the Japanese Stock Market," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 9(3), pages 531-552, September.
  27. Pae, Yuntaek & Bae, Sung C. & Lee, Namhoon, 2018. "Idiosyncratic volatility and cash flow volatility: New evidence from S&P 500," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 127-135.
  28. 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).
  29. Yang Zhao & Jian Chen, 2025. "Impact of Listed Firms’ Correlation on Idiosyncratic Volatility Co-movement—A Network and Wavelet Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 66(3), pages 2055-2076, September.
  30. 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.
  31. 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.
  32. Bali, Turan G. & Weigert, Florian, 2021. "Hedge funds and the positive idiosyncratic volatility effect," CFR Working Papers 21-01, University of Cologne, Centre for Financial Research (CFR).
  33. 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.
  34. Holger Kraft & Eduardo Schwartz & Farina Weiss, 2018. "Growth options and firm valuation," European Financial Management, European Financial Management Association, vol. 24(2), pages 209-238, March.
  35. Marie-Claude Beaulieu & Habiba Mrissa Bouden, 2020. "Does idiosyncratic risk matter in IPO long-run performance?," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 935-981, October.
  36. Metiu, Norbert & Prieto, Esteban, 2025. "Time-varying stock return correlation, news shocks, and business cycles," European Economic Review, Elsevier, vol. 172(C).
  37. 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.
  38. Holger Kraft & Eduardo S. Schwartz & Farina Weiss, 2013. "Growth Options and Firm Valuation," NBER Working Papers 18836, National Bureau of Economic Research, Inc.
  39. Tsai, Li-Chuan & Zhang, Ruhui & Zhao, Cuifang, 2020. "Can international supply chain induce a return premium? Evidence from U.S. leading high-technology firms and Taiwan stock market," Finance Research Letters, Elsevier, vol. 32(C).
  40. 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.
  41. Chichernea, Doina C. & Holder, Anthony D. & Petkevich, Alex, 2015. "Does return dispersion explain the accrual and investment anomalies?," Journal of Accounting and Economics, Elsevier, vol. 60(1), pages 133-148.
  42. Demirer, Rıza & Jategaonkar, Shrikant P. & Khalifa, Ahmed A.A., 2015. "Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries," Energy Economics, Elsevier, vol. 49(C), pages 132-140.
  43. Taylor, Mark & Filippou, Ilias & Rapach, David & Zhou, Guofu, 2020. "Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio," CEPR Discussion Papers 15305, Centre for Economic Policy Research.
  44. Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2019. "Review of new trends in the literature on factor models and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 344-354.
  45. Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023. "Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach," Working Papers 202308, University of Pretoria, Department of Economics.
  46. 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.
  47. Salisu, Afees A. & Demirer, Riza & Gupta, Rangan, 2024. "Technological shocks and stock market volatility over a century," Journal of Empirical Finance, Elsevier, vol. 79(C).
  48. 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.
  49. 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.
  50. Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2016. "Pricing default risk: The good, the bad, and the anomaly," Journal of Financial Stability, Elsevier, vol. 26(C), pages 190-213.
  51. Qadan, Mahmoud, 2019. "Risk appetite, idiosyncratic volatility and expected returns," International Review of Financial Analysis, Elsevier, vol. 65(C).
  52. Shafiullah, Muhammad & Senthilkumar, Arunachalam & Lucey, Brian M. & Naeem, Muhammad Abubakr, 2024. "Deciphering asymmetric spillovers in US industries: Insights from higher-order moments," Research in International Business and Finance, Elsevier, vol. 70(PA).
  53. Guo, Hui & Qiu, Buhui, 2014. "Options-implied variance and future stock returns," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 93-113.
  54. Chamil W SENARATHNE & Wei JIANGUO, 2020. "Testing for Heteroskedastic Mixture of Ordinary Least Squares Errors," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 73-91, July.
  55. 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.
  56. 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.
  57. 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.
  58. Chen, I-Ju & Wang, David K., 2019. "Real option, idiosyncratic risk, and corporate investment: Evidence from Taiwan family firms," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  59. Orlando, Beatrice & Tortora, Debora & Pezzi, Alberto & Bitbol-Saba, Nathalie, 2022. "The disruption of the international supply chain: Firm resilience and knowledge preparedness to tackle the COVID-19 outbreak," Journal of International Management, Elsevier, vol. 28(1).
  60. 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.
  61. Tsafack, Georges & Becker, Ying & Han, Ki, 2023. "Earnings announcement premium and return volatility: Is it consistent with risk-return trade-off?," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  62. Li, Yulin & Liu, Xiaohui & Canil, Jean & Cheong, Chee Seng, 2025. "Biodiversity risk and firm efficiency," Finance Research Letters, Elsevier, vol. 71(C).
  63. 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.
  64. Angelidis, Timotheos & Sakkas, Athanasios & Tessaromatis, Nikolaos, 2015. "Stock market dispersion, the business cycle and expected factor returns," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 265-279.
  65. 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.
  66. 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.
  67. Berrada, Tony & Hugonnier, Julien, 2013. "Incomplete information, idiosyncratic volatility and stock returns," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 448-462.
  68. Bekaert, Geert & Bergbrant, Mikael & Kassa, Haimanot, 2025. "Expected idiosyncratic volatility," Journal of Financial Economics, Elsevier, vol. 167(C).
  69. Oh, Jong-Min, 2024. "Predicting stock market returns with average correlation and average variance: Decomposition approach," Finance Research Letters, Elsevier, vol. 63(C).
  70. Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016. "The common factor in idiosyncratic volatility: Quantitative asset pricing implications," Journal of Financial Economics, Elsevier, vol. 119(2), pages 249-283.
  71. Li, Yong & Mu, Yuandong & Qin, Tianyu, 2021. "Economic uncertainty: A key factor to understanding idiosyncratic volatility puzzle," Finance Research Letters, Elsevier, vol. 42(C).
  72. Ke Yang & Nan Hu & Fengping Tian, 2024. "Forecasting Crude Oil Volatility Using the Deep Learning‐Based Hybrid Models With Common Factors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(8), pages 1429-1446, August.
  73. Kraft, Holger & Schwartz, Eduardo S. & Weiss, Farina, 2017. "Growth options and firm valuation," SAFE Working Paper Series 6, Leibniz Institute for Financial Research SAFE, revised 2017.
  74. 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.
  75. Ali, Sara & Badshah, Ihsan & Demirer, Riza, 2023. "Anti-herding by hedge funds and its implications for expected returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 31-48.
  76. 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.
  77. Panzica, Roberto Calogero, 2018. "Idiosyncratic volatility puzzle: The role of assets' interconnections," SAFE Working Paper Series 228, Leibniz Institute for Financial Research SAFE.
  78. Li Guo & Lin Peng & Yubo Tao & Jun Tu, 2017. "Joint News, Attention Spillover,and Stock Returns," Papers 1703.02715, arXiv.org, revised Jul 2025.
  79. Hassen Raîs, 2016. "Idiosyncratic Risk and the Cross-Section of European Insurance Equity Returns," Post-Print hal-01764088, HAL.
  80. Lu, Fei & Ma, Feng & Bouri, Elie & Liao, Yin, 2024. "Do commodity futures have a steering effect on the spot stock market in China? New evidence from volatility forecasting," International Review of Financial Analysis, Elsevier, vol. 94(C).
  81. Chen, Chun-Da & Demirer, Rıza, 2022. "Oil beta uncertainty and global stock returns," Energy Economics, Elsevier, vol. 112(C).
  82. Zakamulin, Valeriy, 2017. "Superiority of optimized portfolios to naive diversification: Fact or fiction?," Finance Research Letters, Elsevier, vol. 22(C), pages 122-128.
  83. 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.
  84. 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).
  85. Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2015. "Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle," Journal of Finance, American Finance Association, vol. 70(5), pages 1903-1948, October.
  86. Barinov, Alexander, 2018. "Stocks with extreme past returns: Lotteries or insurance?," Journal of Financial Economics, Elsevier, vol. 129(3), pages 458-478.
  87. Jorida Papakroni, 2018. "The dispersion anomaly and analyst recommendations," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 861-896, April.
  88. Leite, André Luis & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & da Silveira Barbedo, Claudio Henrique, 2020. "The Fama-French’s five-factor model relation with interest rates and macro variables," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
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