Financial distress and idiosyncratic volatility: An empirical investigation
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- B. Li & S. Boubaker & Z. Liu & W. Louhichi & Y. Yao, 2023. "Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China," Post-Print hal-04435519, HAL.
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- Jun-Biao Lina & Ping-Yeh Su, 0. "Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 0, pages 2.
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- Chen, Honghui & Zheng, Minrong, 2021. "IPO underperformance and the idiosyncratic risk puzzle," Journal of Banking & Finance, Elsevier, vol. 131(C).
- Rong Guan & Huiwen Wang & Haitao Zheng, 2020. "Improving accuracy of financial distress prediction by considering volatility: an interval-data-based discriminant model," Computational Statistics, Springer, vol. 35(2), pages 491-514, June.
- Vuong, Giang Thi Huong & Nguyen, Phuc Van & Barky, Walid & Nguyen, Manh Huu, 2024. "Stock return volatility and financial distress: Moderating roles of ownership structure, managerial ability, and financial constraints," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 634-652.
- Chris Godfrey & Chris Brooks, 2015. "The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story," ICMA Centre Discussion Papers in Finance icma-dp2015-07, Henley Business School, University of Reading.
- Jun-Biao Lina & Ping-Yeh Su, 2017. "Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(1), pages 1-2.
- Kevin Aretz & Ming-Tsung Lin & Ser-Huang Poon, 2023. "Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns," Review of Finance, European Finance Association, vol. 27(1), pages 289-323.
- Dongcheol Kim & Inro Lee, 2020. "The financial distress pricing puzzle in banking firms," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1351-1384, June.
- Kim, Dongcheol & Lee, Inro & Na, Haejung, 2019. "Financial distress, short sale constraints, and mispricing," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 94-111.
- Yi-Shu Wang & Ting-Chen & Zhen-Jia-Liu, 2020. "The Relationship between Accounting Information Quality and Idiosyncratic Volatility: An Empirical Study on Chinese A-Share Listed Companies," Eurasian Journal of Business and Management, Eurasian Publications, vol. 8(2), pages 150-166.
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Keywords
Distress risk Idiosyncratic volatility Single-beta CAPM;Statistics
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