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Citations for "Why Did Individual Stocks Become More Volatile?"

by Steven X. Wei & Chu Zhang

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  1. Vozlyublennaia, Nadia & Meshcheryakov, Artem, 2014. "Dynamic correlation structure and security risk," Journal of Economics and Business, Elsevier, vol. 73(C), pages 48-64.
  2. Sónia Sousa & Ana Serra, 2008. "What drives idiosyncratic volatility over time?," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 7(3), pages 155-181, December.
  3. Nadeem Iqbal & Sajid Rahman Khattak & Muhammad Arif Khattak, 2013. "Does Fundamental Analysis Predict Stock Returns? Evidence from Non-Financial Companies Listed on KSE," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 5(4), pages 182-190, December.
  4. Allaudeen Hameed & Randall Morck & Jianfeng Shen & Bernard Yeung, 2015. "Information, Analysts, and Stock Return Comovement," Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3153-3187.
  5. Norio Kitagawa & Shin' ya Okuda, 2013. "Management Forecasts, Idiosyncratic Risk, and Information Environment," Discussion Papers 2013-38, Kobe University, Graduate School of Business Administration, revised Jul 2013.
  6. Kryzanowski, Lawrence & Mohsni, Sana, 2015. "Earnings forecasts and idiosyncratic volatilities," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 107-123.
  7. Francesco Vallascas & Kevin Keasey, 2013. "The Volatility of European Banking Systems: A Two-Decade Study," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(1), pages 37-68, February.
  8. Boehme, Rodney & Çolak, Gönül, 2012. "Primary market characteristics and secondary market frictions of stocks," Journal of Financial Markets, Elsevier, vol. 15(2), pages 286-327.
  9. Bartram, Söhnke M. & Brown, Gregory W. & Stulz, René M., 2016. "Why does idiosyncratic risk increase with market risk?," CFS Working Paper Series 533, Center for Financial Studies (CFS).
  10. 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.
  11. Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007. "Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World," Working Paper Series 2007-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  12. Vozlyublennaia, Nadia, 2011. "The cross-section of dynamics in idiosyncratic risk," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 461-473, June.
  13. Mark Bowden, 2015. "A model of information flows and confirmatory bias in financial markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 197-215, October.
  14. 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.
  15. Kitagawa, Norio & Okuda, Shin’ya, 2016. "Management Forecasts, Idiosyncratic Risk, and the Information Environment," The International Journal of Accounting, Elsevier, vol. 51(4), pages 487-503.
  16. Hsin, Chin-Wen & Tseng, Po-Wen, 2012. "Stock price synchronicities and speculative trading in emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 82-109.
  17. Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2017. "Why Does Idiosyncratic Risk Increase with Market Risk?," CESifo Working Paper Series 6560, CESifo Group Munich.
  18. Rajgopal, Shiva & Venkatachalam, Mohan, 2011. "Financial reporting quality and idiosyncratic return volatility," Journal of Accounting and Economics, Elsevier, vol. 51(1-2), pages 1-20, February.
  19. Hutton, Amy P. & Marcus, Alan J. & Tehranian, Hassan, 2009. "Opaque financial reports, R2, and crash risk," Journal of Financial Economics, Elsevier, vol. 94(1), pages 67-86, October.
  20. Guo, Hui & Savickas, Robert, 2006. "Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 43-56, January.
  21. Harald SCHMIDBAUER & Eren KALAYCIO?LU, "undated". "Crude Oil and Oil-Related Turkish Company Stocks: A Volatility Analysis," EcoMod2008 23800127, EcoMod.
  22. Peress, Joel, 2010. "The tradeoff between risk sharing and information production in financial markets," Journal of Economic Theory, Elsevier, vol. 145(1), pages 124-155, January.
  23. Ferris, Erin E. Syron, 2015. "Dividend Taxes and Stock Volatility," Finance and Economics Discussion Series 2015-36, Board of Governors of the Federal Reserve System (U.S.).
  24. Rajgopal, Shiva & Venkatachalam, Mohan, 2011. "Financial reporting quality and idiosyncratic return volatility," Journal of Accounting and Economics, Elsevier, vol. 51(1), pages 1-20.
  25. Bessler, Wolfgang & Drobetz, Wolfgang & Haller, Rebekka & Meier, Iwan, 2013. "The international zero-leverage phenomenon," Journal of Corporate Finance, Elsevier, vol. 23(C), pages 196-221.
  26. repec:wsi:qjfxxx:v:04:y:2014:i:04:n:s2010139214500189 is not listed on IDEAS
  27. Rubin, Amir & Smith, Daniel R., 2011. "Comparing different explanations of the volatility trend," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1581-1597, June.
  28. Sofiene El Aoud & Frédéric Abergel, 2014. "Calibration of a stock's beta using options prices," Post-Print hal-01006405, HAL.
  29. Wang, Li-Hsun & Lin, Chu-Hsiung & Kang, Jui-Heng & Fung, Hung-Gay, 2016. "Idiosyncratic volatility and excess Return: Evidence from the Greater China region," Finance Research Letters, Elsevier, vol. 19(C), pages 126-129.
  30. Walkshäusl, Christian, 2014. "The MAX effect: European evidence," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 1-10.
  31. Beneda, Nancy & Zhang, Yilei, 2009. "Heterogeneous relationship between IPO return and risk across idiosyncratic variance characteristics," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(4), pages 1298-1316, November.
  32. 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.
  33. Patrick J. Kelly, 2014. "Information Efficiency and Firm-Specific Return Variation," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 1-44.
  34. repec:kap:rqfnac:v:49:y:2017:i:2:d:10.1007_s11156-016-0595-8 is not listed on IDEAS
  35. M. Rahman & M. Hassan, 2013. "Firm fundamentals and stock prices in emerging Asian stock markets: some panel data evidence," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 463-487, October.
  36. Rodrigo Pérez Artica & Lisana Martinez & Leandro Brufman, 2016. "A Study of Excess Savings at the Firm Level in Developed Countries. Three Hypotheses about its Causes," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(74), pages 57-104, December.
  37. Rubin, Amir & Smith, Daniel R., 2009. "Institutional ownership, volatility and dividends," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 627-639, April.
  38. Guo, Hui & Savickas, Robert, 2010. "Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1637-1649, July.
  39. David P. Brown & Miguel A. Ferreira, 2016. "Idiosyncratic Volatility of Small Public Firms and Entrepreneurial Risk," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1650002-01 .
  40. 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.
  41. Colm Kearney & Valerio Potì, 2008. "Have European Stocks become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area," European Financial Management, European Financial Management Association, vol. 14(3), pages 419-444.
  42. Joseph Ooi & Jingliang Wang & James Webb, 2009. "Idiosyncratic Risk and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 38(4), pages 420-442, May.
  43. Nguyen, Pascal, 2012. "The impact of foreign investors on the risk-taking of Japanese firms," Journal of the Japanese and International Economies, Elsevier, vol. 26(2), pages 233-248.
  44. Brown, Gregory & Kapadia, Nishad, 2007. "Firm-specific risk and equity market development," Journal of Financial Economics, Elsevier, vol. 84(2), pages 358-388, May.
  45. Hasan, Mostafa Monzur & Habib, Ahsan, 2017. "Firm life cycle and idiosyncratic volatility," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 164-175.
  46. Choi, Jaewon & Richardson, Matthew, 2016. "The volatility of a firm's assets and the leverage effect," Journal of Financial Economics, Elsevier, vol. 121(2), pages 254-277.
  47. Demir, Firat, 2007. "Private Investment, Portfolio Choice and Financialization of Real Sectors in Emerging Markets," MPRA Paper 3835, University Library of Munich, Germany, revised Jul 2007.
  48. Bowden, Mark P., 2012. "Information contagion within small worlds and changes in kurtosis and volatility in financial prices," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 553-566.
  49. Woon Sau Leung & Nicholas Taylor, 2013. "Testing for contagion: the impact of US structured markets on international financial markets," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 11, pages 256-284 Edward Elgar Publishing.
  50. Chen, Zhian & Du, Jinmin & Li, Donghui & Ouyang, Rui, 2013. "Does foreign institutional ownership increase return volatility? Evidence from China," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 660-669.
  51. repec:spr:jecfin:v:41:y:2017:i:3:d:10.1007_s12197-016-9371-9 is not listed on IDEAS
  52. Huang, Alan Guoming, 2009. "The cross section of cashflow volatility and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 409-429, June.
  53. Nakano, Makoto & Nguyen, Pascal, 2012. "Board size and corporate risk-taking: Further evidence from Japan," MPRA Paper 38990, University Library of Munich, Germany.
  54. Walkshäusl, Christian, 2013. "The high returns to low volatility stocks are actually a premium on high quality firms," Review of Financial Economics, Elsevier, vol. 22(4), pages 180-186.
  55. Pérez Artica, Rodrigo & Brufman, Leandro & Martinez, Lisana, 2013. "What are the causes of the growing trend of excess savings of the corporate sector in developed countries? An empirical analysis of three hypotheses," MPRA Paper 47410, University Library of Munich, Germany.
  56. Sina Ehsani & Donald Lien, 2015. "Effects of Passive Intensity on Aggregate Price Dynamics," The Financial Review, Eastern Finance Association, vol. 50(3), pages 363-391, 08.
  57. Bertone, Stephen & Paeglis, Imants & Ravi, Rahul, 2015. "(How) has the market become more efficient?," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 72-86.
  58. Brufman, Leandro & Martinez, Lisana & Artica, Rodrigo Perez, 2013. "What are the causes of the growing trend of excess savings of the corporate sector in developed countries ? an empirical analysis of three hypotheses," Policy Research Working Paper Series 6571, The World Bank.
  59. Chun, Hyunbae & Kim, Jung-Wook & Morck, Randall & Yeung, Bernard, 2008. "Creative destruction and firm-specific performance heterogeneity," Journal of Financial Economics, Elsevier, vol. 89(1), pages 109-135, July.
  60. Leung, W.S. & Taylor, N. & Evans, K.P., 2015. "The determinants of bank risks: Evidence from the recent financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 277-293.
  61. Nguyen, Nhut H. & Truong, Cameron, 2013. "The information content of stock markets around the world: A cultural explanation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 1-29.
  62. Desai, Chintal A. & Savickas, Robert, 2010. "On the causes of volatility effects of conglomerate breakups," Journal of Corporate Finance, Elsevier, vol. 16(4), pages 554-571, September.
  63. Isshaq, Zangina & Faff, Robert, 2016. "Does the uncertainty of firm-level fundamentals help explain cross-sectional differences in liquidity commonality?," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 153-161.
  64. Bali, Turan G. & Cakici, Nusret & Levy, Haim, 2008. "A model-independent measure of aggregate idiosyncratic risk," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 878-896, December.
  65. Martijn Cremers & Hongjun Yan, 2009. "Uncertainty and Valuations," Yale School of Management Working Papers amz2383, Yale School of Management, revised 01 May 2009.
  66. Lin, Mei-Chen & Wu, Chu-Hua & Chiang, Ming-Ti, 2014. "Investor attention and information diffusion from analyst coverage," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 235-246.
  67. Che, Natasha Xingyuan, 2009. "The great dissolution: organization capital and diverging volatility puzzle," MPRA Paper 13701, University Library of Munich, Germany.
  68. repec:kap:jbuset:v:143:y:2017:i:4:d:10.1007_s10551-016-3072-3 is not listed on IDEAS
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