-
1
-
-
33645087144
-
The cross section of volatility and expected returns
-
Ang, A., R. 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.2
Xing, Y.3
Zhang, X.4
-
2
-
-
58049206656
-
High idiosyncratic volatility and low returns: International and further U.S. evidence
-
Ang, A., R. Hodrick., Y. Xing., and X. Zhang., 2009. High idiosyncratic volatility and low returns: International and further U.S. evidence, Journal of Financial Economics 91, 1-23.
-
(2009)
Journal of Financial Economics
, vol.91
, pp. 1-23
-
-
Ang, A.1
Hodrick, R.2
Xing, Y.3
Zhang, X.4
-
4
-
-
36749002238
-
Does idiosyncratic risk matter? Evidence from European stock markets
-
Angelidis, T., and N. Tessaromatis., 2008b. Does idiosyncratic risk matter? Evidence from European stock markets, Applied Financial Economics 18, 125-137.
-
(2008)
Applied Financial Economics
, vol.18
, pp. 125-137
-
-
Angelidis, T.1
Tessaromatis, N.2
-
6
-
-
52049097301
-
A model-independent measure of aggregate idiosyncratic risk
-
Bali, T., N. Cakici., and H. Levy., 2008. A model-independent measure of aggregate idiosyncratic risk, Journal of Empirical Finance 15, 878-896.
-
(2008)
Journal of Empirical Finance
, vol.15
, pp. 878-896
-
-
Bali, T.1
Cakici, N.2
Levy, H.3
-
7
-
-
16244399196
-
Does idiosyncratic risk really matter
-
Bali, T., N. Cakici., X. Yan., and Z. Zhang., 2005. Does idiosyncratic risk really matter Journal of Finance 60, 905-929.
-
(2005)
Journal of Finance
, vol.60
, pp. 905-929
-
-
Bali, T.1
Cakici, N.2
Yan, X.3
Zhang, Z.4
-
8
-
-
0037497348
-
Trading is hazardous to your wealth: The common stock investment performance of individual investors
-
Barber, B., and T. Odean., 2000. Trading is hazardous to your wealth: The common stock investment performance of individual investors, Journal of Finance 55, 773-806.
-
(2000)
Journal of Finance
, vol.55
, pp. 773-806
-
-
Barber, B.1
Odean, T.2
-
10
-
-
0007935565
-
Naive diversification strategies in defined contribution saving plan
-
Benartzi, S., and R. Thaler., 2001. Naive diversification strategies in defined contribution saving plan, American Economic Review 91, 79-98.
-
(2001)
American Economic Review
, vol.91
, pp. 79-98
-
-
Benartzi, S.1
Thaler, R.2
-
14
-
-
0001629453
-
The asset structure of individual portfolios and some implications for utility functions
-
Blume, E., and I. Friend., 1975. The asset structure of individual portfolios and some implications for utility functions, Journal of Finance 30, 585-603.
-
(1975)
Journal of Finance
, vol.30
, pp. 585-603
-
-
Blume, E.1
Friend, I.2
-
15
-
-
44449174568
-
-
Working paper, Duke University
-
Brandt, M., A. Brav., J. Graham., and A. Kumar., 2008. The idiosyncratic volatility puzzle: Time trend or speculative episodes? Working paper, Duke University.
-
(2008)
The idiosyncratic volatility puzzle: Time trend or speculative episodes?
-
-
Brandt, M.1
Brav, A.2
Graham, J.3
Kumar, A.4
-
17
-
-
33947304625
-
Power arch modelling of the volatility of emerging equity markets
-
Brooks, R., 2007. Power arch modelling of the volatility of emerging equity markets, Emerging Markets Review 8, 124-133.
-
(2007)
Emerging Markets Review
, vol.8
, pp. 124-133
-
-
Brooks, R.1
-
18
-
-
34247218482
-
Firm-specific risk and equity market development
-
Brown, G., and N. Kapadia., 2007. Firm-specific risk and equity market development, Journal of Financial Economics 84, 358-388.
-
(2007)
Journal of Financial Economics
, vol.84
, pp. 358-388
-
-
Brown, G.1
Kapadia, N.2
-
19
-
-
0002519023
-
Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk
-
Campbell, J.Y., M. Lettau., B. Malkiel., and Y. Xu., 2001. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, Journal of Finance 56, 1-43.
-
(2001)
Journal of Finance
, vol.56
, pp. 1-43
-
-
Campbell, J.Y.1
Lettau, M.2
Malkiel, B.3
Xu, Y.4
-
20
-
-
85040394274
-
Diversification in portfolios of individual stocks: 100 stocks are not enough
-
Domian, D., D. Louton., and M. Racine., 2007. Diversification in portfolios of individual stocks: 100 stocks are not enough, The Financial Review 42, 557-570.
-
(2007)
The Financial Review
, vol.42
, pp. 557-570
-
-
Domian, D.1
Louton, D.2
Racine, M.3
-
21
-
-
0040063511
-
Risk in the equity markets: An empirical appraisal of market efficiency
-
Douglas, E., 1969. Risk in the equity markets: An empirical appraisal of market efficiency, Yale Economic Essays 9, 3-45.
-
(1969)
Yale Economic Essays
, vol.9
, pp. 3-45
-
-
Douglas, E.1
-
22
-
-
84980104625
-
Diversification and reduction of dispersion: An empirical analysis
-
Evans, J.L., and S. Archer., 1968. Diversification and reduction of dispersion: An empirical analysis, Journal of Finance 23, 761-767.
-
(1968)
Journal of Finance
, vol.23
, pp. 761-767
-
-
Evans, J.L.1
Archer, S.2
-
23
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
Fama, F., and K. 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, F.1
French, K.2
-
24
-
-
0013413658
-
Multifactor explanations of asset pricing anomalies
-
Fama, F., and K. French., 1996. Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.
-
(1996)
Journal of Finance
, vol.51
, pp. 55-84
-
-
Fama, F.1
French, K.2
-
25
-
-
58049191298
-
Idiosyncratic risk and the cross-section of expected returns
-
Fu, F., 2009. Idiosyncratic risk and the cross-section of expected returns, Journal of Financial Economics 91, 24-37.
-
(2009)
Journal of Financial Economics
, vol.91
, pp. 24-37
-
-
Fu, F.1
-
26
-
-
19144367999
-
There is a risk-return tradeoff after all
-
Ghysels, E., P. Santa-Clara., and R. Valkanov., 2005. There is a risk-return tradeoff after all, Journal of Financial Economics 76, 509-548.
-
(2005)
Journal of Financial Economics
, vol.76
, pp. 509-548
-
-
Ghysels, E.1
Santa-Clara, P.2
Valkanov, R.3
-
29
-
-
4644360188
-
Limited stock market participation and asset prices in a dynamic economy
-
Guo, H., 2004. Limited stock market participation and asset prices in a dynamic economy, Journal of Financial and Quantitative Analysis 39, 495-516.
-
(2004)
Journal of Financial and Quantitative Analysis
, vol.39
, pp. 495-516
-
-
Guo, H.1
-
31
-
-
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 Economics Statistics 24, 43-56.
-
(2006)
Journal of Business and Economics Statistics
, vol.24
, pp. 43-56
-
-
Guo, H.1
Savickas, R.2
-
32
-
-
44849127960
-
Average idiosyncratic volatility in G7 countries
-
Guo, H., and R. Savickas., 2008. Average idiosyncratic volatility in G7 countries, Review of Financial Studies 21, 1259-1296.
-
(2008)
Review of Financial Studies
, vol.21
, pp. 1259-1296
-
-
Guo, H.1
Savickas, R.2
-
34
-
-
0001342006
-
A new approach to the economic analysis of nonstationary time series and the business cycle
-
Hamilton, J., 1989. A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica 57, 357-384.
-
(1989)
Econometrica
, vol.57
, pp. 357-384
-
-
Hamilton, J.1
-
35
-
-
43949131440
-
Have European stocks become more volatile? An empirical investigation of idiosyncratic and market risk in the Euro area
-
Kearney, C., and V. Poti., 2008. Have European stocks become more volatile? An empirical investigation of idiosyncratic and market risk in the Euro area, European Financial Management 14, 419-444.
-
(2008)
European Financial Management
, vol.14
, pp. 419-444
-
-
Kearney, C.1
Poti, V.2
-
36
-
-
0002634803
-
Dynamic linear models with Markov switching
-
Kim, C.-J., 1994. Dynamic linear models with Markov switching, Journal of Econometrics 60, 1-22.
-
(1994)
Journal of Econometrics
, vol.60
, pp. 1-22
-
-
Kim, C.-J.1
-
37
-
-
0002576369
-
Residual risk revisited
-
Lehmann, B., 1990. Residual risk revisited, Journal of Econometrics 45, 71-97.
-
(1990)
Journal of Econometrics
, vol.45
, pp. 71-97
-
-
Lehmann, B.1
-
38
-
-
0012462939
-
Consumption, aggregate wealth, and expected stock returns
-
Lettau, M., and S. Ludvigson., 2001. Consumption, aggregate wealth, and expected stock returns, Journal of Finance 56, 815-849.
-
(2001)
Journal of Finance
, vol.56
, pp. 815-849
-
-
Lettau, M.1
Ludvigson, S.2
-
39
-
-
4444371156
-
Firm specific variation and openness in emerging markets
-
Li, K., R. Morck., F. Yang., and Y. Bernard., 2004. Firm specific variation and openness in emerging markets, Review of Economics and Statistics 86, 658-669.
-
(2004)
Review of Economics and Statistics
, vol.86
, pp. 658-669
-
-
Li, K.1
Morck, R.2
Yang, F.3
Bernard, Y.4
-
40
-
-
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, 13-37.
-
(1965)
Review of Economics and Statistics
, vol.47
, pp. 13-37
-
-
Lintner, J.1
-
42
-
-
84977707554
-
A simple model of capital market equilibrium with incomplete information
-
Merton, R., 1987. 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.1
-
43
-
-
0001373089
-
The information content of stock markets: Why do emerging markets have comoving stock price movements
-
Morck, R., B. Yeung., and W. Yu., 2000. The information content of stock markets: Why do emerging markets have comoving stock price movements Journal of Financial Economics 58, 215-260.
-
(2000)
Journal of Financial Economics
, vol.58
, pp. 215-260
-
-
Morck, R.1
Yeung, B.2
Yu, W.3
-
44
-
-
0000706085
-
A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey, W., and K. West., 1987. A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.1
West, K.2
-
45
-
-
33746885169
-
Costly arbitrage and the myth of idiosyncratic risk
-
Pontiff, J., 2006. Costly arbitrage and the myth of idiosyncratic risk, Journal of Accounting and Economics 42, 35-52.
-
(2006)
Journal of Accounting and Economics
, vol.42
, pp. 35-52
-
-
Pontiff, J.1
-
46
-
-
84934452765
-
Risk, return and equilibrium: A revisit
-
Tinic, S., and R. West., 1986. Risk, return and equilibrium: A revisit, Journal of Political Economy 94, 126-147.
-
(1986)
Journal of Political Economy
, vol.94
, pp. 126-147
-
-
Tinic, S.1
West, R.2
-
47
-
-
0001760867
-
Trend function hypothesis testing in the presence of serial correlation
-
Vogelsang, T., 1998. Trend function hypothesis testing in the presence of serial correlation, Econometrica 66, 123-148.
-
(1998)
Econometrica
, vol.66
, pp. 123-148
-
-
Vogelsang, T.1
-
48
-
-
11344288077
-
Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities
-
Wei, S., and C. Zhang., 2005. Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities, Journal of Banking and Finance 29, 603-621.
-
(2005)
Journal of Banking and Finance
, vol.29
, pp. 603-621
-
-
Wei, S.1
Zhang, C.2
|