-
1
-
-
33645087144
-
The cross-section of volatility and expected returns
-
Ang, A., R. J. Hodrick, Y. Xing, and X. Zhang. 2006. The Cross-Section of Volatility and Expected Returns. Journal of Finance 61:259-299
-
(2006)
Journal of Finance
, vol.61
, pp. 259-299
-
-
Ang, A.1
Hodrick, R.J.2
Xing, Y.3
Zhang, X.4
-
2
-
-
58049206656
-
High idiosyncratic volatility and low returns: International and further US evidence
-
Ang, A., R. J. Hodrick, Y. Xing, andX. Zhang. 2009. High Idiosyncratic Volatility and LowReturns: International and Further US Evidence. Journal of Financial Economics 91:1-23.
-
(2009)
Journal of Financial Economics
, vol.91
, pp. 1-23
-
-
Ang, A.1
Hodrick, R.J.2
Xing, Y.3
Zhang, X.4
-
3
-
-
33746819192
-
Investor sentiment and the cross-section of stock returns
-
Baker, M., and J.Wurgler. 2006. Investor Sentiment and the Cross-Section of Stock Returns. Journal of Finance 61:1645-1680
-
(2006)
Journal of Finance
, vol.61
, pp. 1645-1680
-
-
Baker, M.1
Wurgler, J.2
-
5
-
-
16244399196
-
Does idiosyncratic volatility really matter?
-
Bali, T. G., N. Cakici, X. Yan, and Z. Zhang. 2005. Does Idiosyncratic Volatility Really Matter? Journal of Finance 60:905-29.
-
(2005)
Journal of Finance
, vol.60
, pp. 905-929
-
-
Bali, T.G.1
Cakici, N.2
Yan, X.3
Zhang, Z.4
-
7
-
-
42449156579
-
Generalized autoregressive conditional heteroskedasticity
-
Bollerslev, T. 1986. Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 31:307-328
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-328
-
-
Bollerslev, T.1
-
8
-
-
0002519023
-
Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk
-
Campbell, J. Y., M. Lettau, B. G. Malkiel, and Y. Xu. 2001. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk. Journal of Finance 56:1-43. (Pubitemid 33581652)
-
(2001)
Journal of Finance
, vol.56
, Issue.1
, pp. 1-43
-
-
Campbell, J.Y.1
Lettau, M.2
Malkiel, B.G.3
Xu, Y.4
-
9
-
-
0002624840
-
On persistence in mutual fund performance
-
Carhart, M. M. 1997. On Persistence in Mutual Fund Performance. Journal of Finance 52:57-82.
-
(1997)
Journal of Finance
, vol.52
, pp. 57-82
-
-
Carhart, M.M.1
-
10
-
-
75449084664
-
Expected volatility, unexpected volatility, and the cross-section of stock returns
-
Singapore Management University
-
Chua, C. T., J. Goh, and Z. Zhang. 2008. Expected Volatility, Unexpected Volatility, and the Cross-Section of Stock Returns. Working Paper, Singapore Management University.
-
(2008)
Working Paper
-
-
Chua, C.T.1
Goh, J.2
Zhang, Z.3
-
11
-
-
0001094414
-
Stock returns and volatility: A firm-level analysis
-
Duffee, G. R. 1995. Stock Returns and Volatility: A Firm-Level Analysis. Journal of Financial Economics 37:399-420.
-
(1995)
Journal of Financial Economics
, vol.37
, pp. 399-420
-
-
Duffee, G.R.1
-
12
-
-
0000051984
-
Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
-
Engel, R. F. 1982. Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica 50:987-1007.
-
(1982)
Econometrica
, vol.50
, pp. 987-1007
-
-
Engel, R.F.1
-
13
-
-
0000928969
-
Risk, return, and equilibrium: Empirical tests
-
Fama, E. F., and J. D. MacBeth. 1973. Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy 81:607-636
-
(1973)
Journal of Political Economy
, vol.81
, pp. 607-636
-
-
Fama, E.F.1
MacBeth, J.D.2
-
14
-
-
84977737676
-
The cross-section of expected stock returns
-
Fama, E. F., and K. R. French. 1992. The Cross-Section of Expected Stock Returns. Journal of Finance 47:427-465
-
(1992)
Journal of Finance
, vol.47
, pp. 427-465
-
-
Fama, E.F.1
French, K.R.2
-
15
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
Fama, E. F., and K. R. French. 1993. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33:3-56.
-
(1993)
Journal of Financial Economics
, vol.33
, pp. 3-56
-
-
Fama, E.F.1
French, K.R.2
-
16
-
-
0030360244
-
Continuous record asymptotics for rolling sample variance estimators
-
Foster, D. P., and D. B. Nelson. 1996. Continuous Record Asymptotics for Rolling Sample Variance Estimators. Econometrica 64:139-174
-
(1996)
Econometrica
, vol.64
, pp. 139-174
-
-
Foster, D.P.1
Nelson, D.B.2
-
18
-
-
58049191298
-
Idiosyncratic risk and the cross-section of expected stock returns
-
Fu, F. 2009. Idiosyncratic Risk and the Cross-Section of Expected Stock Returns. Journal of Financial Economics 91:24-37.
-
(2009)
Journal of Financial Economics
, vol.91
, pp. 24-37
-
-
Fu, F.1
-
19
-
-
0142168851
-
Idiosyncratic volatility matters!
-
Goyal, A., and P. Santa-Clara. 2003. Idiosyncratic Volatility Matters! Journal of Finance 58:975-1007.
-
(2003)
Journal of Finance
, vol.58
, pp. 975-1007
-
-
Goyal, A.1
Santa-Clara, P.2
-
20
-
-
30744467677
-
Idiosyncratic volatility, stock market volatility, and expected stock returns
-
Guo, H., and R. Savickas. 2006. Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns. Journal of Business and Economic Statistics 24:43-56.
-
(2006)
Journal of Business and Economic Statistics
, vol.24
, pp. 43-56
-
-
Guo, H.1
Savickas, R.2
-
21
-
-
84977718628
-
Evidence of predictable behavior of security returns
-
Jegadeesh, N. 1990. Evidence of Predictable Behavior of Security Returns. Journal of Finance 45:881-898
-
(1990)
Journal of Finance
, vol.45
, pp. 881-898
-
-
Jegadeesh, N.1
-
22
-
-
84993907227
-
Returns to buying winners and selling losers: Implications for stock market efficiency
-
Jegadeesh, N., and S. Titman. 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance 48:65-91.
-
(1993)
Journal of Finance
, vol.48
, pp. 65-91
-
-
Jegadeesh, N.1
Titman, S.2
-
23
-
-
21844526648
-
Overreaction, delayed reaction and contrarian profits
-
Jegadeesh, N., and S. Titman. 1995. Overreaction, Delayed Reaction and Contrarian Profits. Review of Financial Studies 8:973-993
-
(1995)
Review of Financial Studies
, vol.8
, pp. 973-993
-
-
Jegadeesh, N.1
Titman, S.2
-
24
-
-
33749619836
-
On the dynamic relation between returns and idiosyncratic volatility
-
Jiang, X., and B. S. Lee. 2006. On the Dynamic Relation between Returns and Idiosyncratic Volatility. Financial Management 35(2):43-65.
-
(2006)
Financial Management
, vol.35
, Issue.2
, pp. 43-65
-
-
Jiang, X.1
Lee, B.S.2
-
25
-
-
0002576369
-
Residual risk revisited
-
Lehmann, B. 1990a. Residual Risk Revisited. Journal of Econometrics 45:71-97.
-
(1990)
Journal of Econometrics
, vol.45
, pp. 71-97
-
-
Lehmann, B.1
-
26
-
-
84963088616
-
Fads, martingales and market efficiency
-
Lehmann, B. 1990b. Fads, Martingales and Market Efficiency. Quarterly Journal of Economics 105:1-28.
-
(1990)
Quarterly Journal of Economics
, vol.105
, pp. 1-28
-
-
Lehmann, B.1
-
27
-
-
84911608997
-
Equilibrium in an imperfect market: A constraint on the number of securities in the portfolio
-
Levy, H. 1978. Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio. American Economic Review 68:643-658
-
(1978)
American Economic Review
, vol.68
, pp. 643-658
-
-
Levy, H.1
-
28
-
-
0003114587
-
The valuation of risky assets and the selection of risky investment in stock portfolio and capital budgets
-
Lintner, J. 1965. The Valuation of Risky Assets and the Selection of Risky Investment in Stock Portfolio and Capital Budgets. Review of Economics and Statistics 47:3-37.
-
(1965)
Review of Economics and Statistics
, vol.47
, pp. 3-37
-
-
Lintner, J.1
-
29
-
-
0001173683
-
When are contrarian profits due to stock market overreaction?
-
Lo, A., and A. C. MacKinlay. 1990. When Are Contrarian Profits Due to Stock Market Overreaction? Review of Financial Studies 3:175-205.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 175-205
-
-
Lo, A.1
MacKinlay, A.C.2
-
30
-
-
0039861256
-
Idiosyncratic risk and security returns
-
University of Texas at Dallas
-
Malkiel, B. G., and Y. Xu. 2002. Idiosyncratic Risk and Security Returns.Working Paper, University of Texas at Dallas.
-
(2002)
Working Paper
-
-
Malkiel, B.G.1
Xu, Y.2
-
31
-
-
84977707554
-
Presidential address: A simple model of capital market equilibrium with incomplete information
-
Merton, R. C. 1987. Presidential Address: A Simple Model of Capital Market Equilibrium with Incomplete Information. Journal of Finance 42:483-510.
-
(1987)
Journal of Finance
, vol.42
, pp. 483-510
-
-
Merton, R.C.1
-
32
-
-
0000641348
-
Conditional heteroskedasticity in asset returns: A new approach
-
Nelson, D. B. 1991. Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica 59:347-370
-
(1991)
Econometrica
, vol.59
, pp. 347-370
-
-
Nelson, D.B.1
-
33
-
-
0000706085
-
A simple positive-definite heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey, W. K., and K. D. West. 1987. A Simple Positive-Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica 55:703-708
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.K.1
West, K.D.2
-
35
-
-
0001783260
-
On the estimation of beta-pricing models
-
Shanken, J. A. 1992. On the Estimation of Beta-Pricing Models. Review of Financial Studies 5:1-33.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 1-33
-
-
Shanken, J.A.1
-
36
-
-
34247494155
-
Cross-sectional variation in stock returns: Liquidity and idiosyncratic risk
-
Yale University
-
Spiegel, M., and X. Wang. 2006. Cross-Sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk. Working Paper, Yale University.
-
(2006)
Working Paper
-
-
Spiegel, M.1
Wang, X.2
|