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Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

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Cited by:

  1. Pierdzioch, Christian & Döpke, Jörg & Hartmann, Daniel, 2008. "Forecasting stock market volatility with macroeconomic variables in real time," Journal of Economics and Business, Elsevier, vol. 60(3), pages 256-276.
  2. Harald Hau, 2006. "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," Journal of the European Economic Association, MIT Press, vol. 4(4), pages 862-890, June.
  3. Cesa-Bianchi, Ambrogio & Pesaran, M. Hashem & Rebucci, Alessandro, 2014. "Uncertainty and Economic Activity: A Global Perspective," IDB Publications (Working Papers) 6605, Inter-American Development Bank.
  4. Bijoy Chandra Das & Fakhrul Hasan & Soma Rani Sutradhar, 2024. "The impact of economic policy uncertainty and inflation risk on corporate cash holdings," Review of Quantitative Finance and Accounting, Springer, vol. 62(3), pages 865-887, April.
  5. Xi Wu & Xinle Tong & Yudong Wang, 2022. "Managerial ability and idiosyncratic volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2566-2581, April.
  6. Angeletos, George-Marios & Panousi, Vasia, 2011. "Financial integration, entrepreneurial risk and global dynamics," Journal of Economic Theory, Elsevier, vol. 146(3), pages 863-896, May.
  7. Lin, Xiaoji, 2012. "Endogenous technological progress and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 103(2), pages 411-427.
  8. Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2022. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 29-50, Emerald Group Publishing Limited.
  9. Mahir Binici & Bulent Koksal & Cuneyt Orman, 2013. "Stock Return Co-movement and Systemic Risk in the Turkish Banking System," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 13(Special I), pages 41-63.
  10. Joel Peress, 2014. "The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes," Journal of Finance, American Finance Association, vol. 69(5), pages 2007-2043, October.
  11. Ariel Zetlin-Jones & Ali Shourideh, 2010. "Aggregate Fluctuations with Adverse Selection in Credit Markets," 2010 Meeting Papers 376, Society for Economic Dynamics.
  12. David McMillan & Mark Wohar, 2011. "Structural breaks in volatility: the case of UK sector returns," Applied Financial Economics, Taylor & Francis Journals, vol. 21(15), pages 1079-1093.
  13. Ad. J. W. van de Gevel & Charles N. Noussair, 2013. "The Nexus between Artificial Intelligence and Economics," SpringerBriefs in Economics, Springer, edition 127, number 978-3-642-33648-5, April.
  14. J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October.
  15. Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2004. "Firm-Specific Variation and Openness in Emerging Markets," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 658-669, August.
  16. Stephen J. Sault, 2007. "A Disaggregated Analysis of Movements in East Asian Regional Stock Volatility," Australian Journal of Management, Australian School of Business, vol. 32(2), pages 251-270, December.
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  18. Saadet Kirbas-Kasman & Adnan Kasman, 2003. "Volatility of ISE and Business Cycle," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 3(1), pages 67-84.
  19. Caldara, Dario & Fuentes-Albero, Cristina & Gilchrist, Simon & Zakrajšek, Egon, 2016. "The macroeconomic impact of financial and uncertainty shocks," European Economic Review, Elsevier, vol. 88(C), pages 185-207.
  20. M. Reza Bradrania & Maurice Peat & Stephen Satchell, 2022. "Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns," Papers 2211.04695, arXiv.org.
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  24. Michelle Lowry & Micah S. Officer & G. William Schwert, 2010. "The Variability of IPO Initial Returns," Journal of Finance, American Finance Association, vol. 65(2), pages 425-465, April.
  25. Hui Guo, 2006. "On the Out-of-Sample Predictability of Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 79(2), pages 645-670, March.
  26. Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market," Risk and Insurance 0308004, University Library of Munich, Germany.
  27. Stephen Murray & Cesar Aguado & Victor M. Castaño, 2022. "In-Company Technical Training in Developing Countries," Journal of Education and Training, Macrothink Institute, vol. 9(2), pages 82-99, August.
  28. 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.
  29. Luigi Guiso & Michael Haliassos & Tullio Jappelli, 2003. "Household stockholding in Europe: where do we stand and where do we go? [‘Limited market participation and volatility of assets prices’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 18(36), pages 123-170.
  30. Allaudeen Hameed & Randall Morck & Jianfeng Shen & Bernard Yeung, 2015. "Information, Analysts, and Stock Return Comovement," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3153-3187.
  31. Lebedinsky, Alex & Wilmes, Nicholas, 2018. "A re-examination of firm, industry and market volatilities," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 113-120.
  32. Stig Helberg & Snorre Lindset, 2020. "Collateral affects return risk: evidence from the euro bond market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(1), pages 99-128, March.
  33. Kourogenis, Nikolaos & Pittis, Nikitas, 2010. "Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator," Economics Letters, Elsevier, vol. 106(2), pages 84-86, February.
  34. Petri Kyröläinen, 2008. "Day trading and stock price volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(1), pages 75-89, January.
  35. Ivana Lolić & Petar Sorić & Marija Logarušić, 2022. "Economic Policy Uncertainty Index Meets Ensemble Learning," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 401-437, August.
  36. Massa, Massimo, 2003. "How do family strategies affect fund performance? When performance-maximization is not the only game in town," Journal of Financial Economics, Elsevier, vol. 67(2), pages 249-304, February.
  37. Laura L. Veldkamp, 2006. "Information Markets and the Comovement of Asset Prices," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(3), pages 823-845.
  38. Beyer, Deborah B. & Fan, Zaifeng S., 2023. "The calming effects of conflict: The impact of partisan conflict on market volatility," International Review of Financial Analysis, Elsevier, vol. 85(C).
  39. Felipe S. Iachan & Plamen T. Nenov & Alp Simsek, 2021. "The Choice Channel of Financial Innovation," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(2), pages 333-372, April.
  40. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018. "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 34-62.
  41. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je, 2020. "Volatility forecasting using related markets’ information for the Tokyo stock exchange," Economic Modelling, Elsevier, vol. 90(C), pages 143-158.
  42. Aktham Maghyereh & Hussein Abdoh, 2024. "Oil price uncertainly and sovereign credit risk in GCC countries: fresh evidence," International Economics and Economic Policy, Springer, vol. 21(2), pages 457-482, May.
  43. Barinov, Alexander, 2017. "Institutional ownership and aggregate volatility risk," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 20-38.
  44. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, University Library of Munich, Germany.
  45. Michael Brennan & Feifei Li & Walter Torous, 2005. "Dollar Cost Averaging," Review of Finance, Springer, vol. 9(4), pages 509-535, December.
  46. Vidal-García, Javier & Vidal, Marta, 2014. "Seasonality and idiosyncratic risk in mutual fund performance," European Journal of Operational Research, Elsevier, vol. 233(3), pages 613-624.
  47. claudio Michelacci & Fabiano Schivardi, 2008. "Does Idiosyncratic Business Risk Matter?," EIEF Working Papers Series 0813, Einaudi Institute for Economics and Finance (EIEF), revised Jul 2008.
  48. Kryzanowski, Lawrence & Mohsni, Sana, 2015. "Earnings forecasts and idiosyncratic volatilities," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 107-123.
  49. Junghwan Hyun & Raoul Minetti, 2019. "Credit Reallocation, Deleveraging, and Financial Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(7), pages 1889-1921, October.
  50. Chau, Frankie & Deesomsak, Rataporn & Wang, Jun, 2014. "Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 1-19.
  51. C. James Hueng & Ruey Yau, 2006. "Investor preferences and portfolio selection: is diversification an appropriate strategy?," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 255-271.
  52. L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/217, Ghent University, Faculty of Economics and Business Administration.
  53. Amen Aissi Harzallah & Mouna Boujelbene Abbes, 2020. "The Impact of Financial Crises on the Asset Allocation: Classical Theory Versus Behavioral Theory," Journal of Interdisciplinary Economics, , vol. 32(2), pages 218-236, July.
  54. Panayiotis C. Andreou & Christodoulos Louca & Christos S. Savva, 2016. "Short-horizon event study estimation with a STAR model and real contaminated events," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 673-697, October.
  55. 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).
  56. Kingsley Fong & David R. Gallagher & Aaron Ng, 2005. "The Use of Derivatives by Investment Managers and Implications for Portfolio Performance and Risk," International Review of Finance, International Review of Finance Ltd., vol. 5(1‐2), pages 1-29, March.
  57. Oikawa, Koki, 2010. "Uncertainty-driven growth," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 897-912, May.
  58. Aneta Wlodarczyk & Iwona Otola, 2016. "Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 87-116.
  59. Hyung, Namwon & de Vries, Casper G., 2012. "Simulating and calibrating diversification against black swans," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1162-1175.
  60. Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle, 2021. "Fitting Vast Dimensional Time-Varying Covariance Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 652-668, July.
  61. Demirer, Riza & Gupta, Rangan & Salisu, Afees A. & van Eyden, Reneé, 2023. "Firm-level business uncertainty and the predictability of the aggregate U.S. stock market volatility during the COVID-19 pandemic," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 295-302.
  62. Sourafel Girma & Sandra Lancheros & Alejandro Riaño, 2016. "Global Engagement and Returns Volatility," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(6), pages 814-833, December.
  63. Greenwood, Robin & Shleifer, Andrei & You, Yang, 2019. "Bubbles for Fama," Journal of Financial Economics, Elsevier, vol. 131(1), pages 20-43.
  64. Francesco Busato & Cuono Massimo Coletta & Maria Manganiello, 2019. "Estimating the Cost of Equity Capital: Forecasting Accuracy for U.S. REIT Sector," International Real Estate Review, Global Social Science Institute, vol. 22(3), pages 399-430.
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