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Does Idiosyncratic Volatility Proxy for Risk Exposure?

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  1. Chen, Chun-Da & Demirer, Riza & Jategaonkar, Shrikant P., 2015. "Risk and return in the Chinese stock market: Does equity return dispersion proxy risk?," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 23-37.
  2. Zhong, Angel, 2018. "Idiosyncratic volatility in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 105-125.
  3. Nektarios Aslanidis & Charlotte Christiansen & Neophytos Lambertides & Christos S. Savva, 2019. "Idiosyncratic volatility puzzle: influence of macro-finance factors," Review of Quantitative Finance and Accounting, Springer, vol. 52(2), pages 381-401, February.
  4. Claudiu Vinte & Marcel Ausloos, 2022. "The Cross-Sectional Intrinsic Entropy. A Comprehensive Stock Market Volatility Estimator," Papers 2205.00104, arXiv.org.
  5. Rajnish Mehra & Sunil Wahal & Daruo Xie, 2021. "Is idiosyncratic risk conditionally priced?," Quantitative Economics, Econometric Society, vol. 12(2), pages 625-646, May.
  6. John Y. Campbell & Martin Lettau & Burton Malkiel & Yexiao Xu, 2023. "Idiosyncratic Equity Risk Two Decades Later," Critical Finance Review, now publishers, vol. 12(1-4), pages 203-223, August.
  7. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
  8. Kumari, Jyoti & Mahakud, Jitendra & Hiremath, Gourishankar S., 2017. "Determinants of idiosyncratic volatility: Evidence from the Indian stock market," Research in International Business and Finance, Elsevier, vol. 41(C), pages 172-184.
  9. Czapkiewicz, Anna & Wójtowicz, Tomasz & Zaremba, Adam, 2023. "Idiosyncratic risk and cross-section of stock returns in emerging European markets," Economic Modelling, Elsevier, vol. 124(C).
  10. Frederick Adjei & Mavis Adjei, 2017. "Market share, firm innovation, and idiosyncratic volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 569-580, July.
  11. Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2016. "Pricing default risk: The good, the bad, and the anomaly," Journal of Financial Stability, Elsevier, vol. 26(C), pages 190-213.
  12. Ilze Kalnina & Kokouvi Tewou, 2024. "Cross-sectional Dependence in Idiosyncratic Volatility," Papers 2408.13437, arXiv.org.
  13. Matthew W Clance & Riza Demirer & Rangan Gupta & Clement Kweku Kyei, 2020. "Predicting firm-level volatility in the United States: the role of monetary policy uncertainty," Economics and Business Letters, Oviedo University Press, vol. 9(3), pages 167-177.
  14. Christoffersen, Peter & Lunde, Asger & Olesen, Kasper V., 2019. "Factor Structure in Commodity Futures Return and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(3), pages 1083-1115, June.
  15. Bali, Turan G. & Gunaydin, A. Doruk & Jansson, Thomas & Karabulut, Yigitcan, 2023. "Do the rich gamble in the stock market? Low risk anomalies and wealthy households," Journal of Financial Economics, Elsevier, vol. 150(2).
  16. Bali, Turan G. & Weigert, Florian, 2021. "Hedge funds and the positive idiosyncratic volatility effect," CFR Working Papers 21-01, University of Cologne, Centre for Financial Research (CFR).
  17. Holger Kraft & Eduardo Schwartz & Farina Weiss, 2018. "Growth options and firm valuation," European Financial Management, European Financial Management Association, vol. 24(2), pages 209-238, March.
  18. Simlai, Prodosh, 2014. "Persistence of ex-ante volatility and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 253-261.
  19. Chichernea, Doina C. & Holder, Anthony D. & Petkevich, Alex, 2015. "Does return dispersion explain the accrual and investment anomalies?," Journal of Accounting and Economics, Elsevier, vol. 60(1), pages 133-148.
  20. Berrada, Tony & Hugonnier, Julien, 2013. "Incomplete information, idiosyncratic volatility and stock returns," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 448-462.
  21. Demirer, Rıza & Jategaonkar, Shrikant P. & Khalifa, Ahmed A.A., 2015. "Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries," Energy Economics, Elsevier, vol. 49(C), pages 132-140.
  22. Zhong, Angel & Gray, Philip, 2016. "The MAX effect: An exploration of risk and mispricing explanations," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 76-90.
  23. Chung, Kee H. & Wang, Junbo & Wu, Chunchi, 2019. "Volatility and the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, vol. 133(2), pages 397-417.
  24. Qadan, Mahmoud, 2019. "Risk appetite, idiosyncratic volatility and expected returns," International Review of Financial Analysis, Elsevier, vol. 65(C).
  25. Shafiullah, Muhammad & Senthilkumar, Arunachalam & Lucey, Brian M. & Naeem, Muhammad Abubakr, 2024. "Deciphering asymmetric spillovers in US industries: Insights from higher-order moments," Research in International Business and Finance, Elsevier, vol. 70(PA).
  26. Benoit Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The political reception of innovations," Cahiers de recherche 2107, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  27. Eric Renault & Thijs Van Der & Bas J M Werker, 2023. "Arbitrage Pricing Theory for Idiosyncratic Variance Factors," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1403-1442.
  28. Chen, I-Ju & Wang, David K., 2019. "Real option, idiosyncratic risk, and corporate investment: Evidence from Taiwan family firms," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  29. Berggrun, Luis & Lizarzaburu, Edmundo & Cardona, Emilio, 2016. "Idiosyncratic volatility and stock returns: Evidence from the MILA," Research in International Business and Finance, Elsevier, vol. 37(C), pages 422-434.
  30. Tsafack, Georges & Becker, Ying & Han, Ki, 2023. "Earnings announcement premium and return volatility: Is it consistent with risk-return trade-off?," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  31. Angelidis, Timotheos & Sakkas, Athanasios & Tessaromatis, Nikolaos, 2015. "Stock market dispersion, the business cycle and expected factor returns," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 265-279.
  32. Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The RQE-CAPM : New insights about the pricing of idiosyncratic risk," CIRANO Working Papers 2021s-28, CIRANO.
  33. Oh, Jong-Min, 2024. "Predicting stock market returns with average correlation and average variance: Decomposition approach," Finance Research Letters, Elsevier, vol. 63(C).
  34. 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.
  35. Li, Yong & Mu, Yuandong & Qin, Tianyu, 2021. "Economic uncertainty: A key factor to understanding idiosyncratic volatility puzzle," Finance Research Letters, Elsevier, vol. 42(C).
  36. Kraft, Holger & Schwartz, Eduardo S. & Weiss, Farina, 2017. "Growth options and firm valuation," SAFE Working Paper Series 6, Leibniz Institute for Financial Research SAFE, revised 2017.
  37. Su, Zhi & Shu, Tengjia & Yin, Libo, 2018. "The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 497(C), pages 218-235.
  38. Ali, Sara & Badshah, Ihsan & Demirer, Riza, 2023. "Anti-herding by hedge funds and its implications for expected returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 31-48.
  39. Panzica, Roberto Calogero, 2018. "Idiosyncratic volatility puzzle: The role of assets' interconnections," SAFE Working Paper Series 228, Leibniz Institute for Financial Research SAFE.
  40. Hassen Raîs, 2016. "Idiosyncratic Risk and the Cross-Section of European Insurance Equity Returns," Post-Print hal-01764088, HAL.
  41. Lu, Fei & Ma, Feng & Bouri, Elie & Liao, Yin, 2024. "Do commodity futures have a steering effect on the spot stock market in China? New evidence from volatility forecasting," International Review of Financial Analysis, Elsevier, vol. 94(C).
  42. Zakamulin, Valeriy, 2017. "Superiority of optimized portfolios to naive diversification: Fact or fiction?," Finance Research Letters, Elsevier, vol. 22(C), pages 122-128.
  43. Malagon, Juliana & Moreno, David & Rodríguez, Rosa, 2015. "The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 224-238.
  44. He, Zhongzhi & Xue, Wenjun, 2022. "Idiosyncratic volatility puzzle exists at the country level," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  45. Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2015. "Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle," Journal of Finance, American Finance Association, vol. 70(5), pages 1903-1948, October.
  46. KALNINA, Ilze & TEWOU, Kokouvi, 2015. "Cross-sectional dependence in idiosyncratic volatility," Cahiers de recherche 2015-04, Universite de Montreal, Departement de sciences economiques.
  47. Barinov, Alexander, 2018. "Stocks with extreme past returns: Lotteries or insurance?," Journal of Financial Economics, Elsevier, vol. 129(3), pages 458-478.
  48. Poon, Percy & Yao, Tong & Zhang, Andrew (Jianzhong), 2022. "The alphas of beta and idiosyncratic volatility," Journal of Financial Markets, Elsevier, vol. 61(C).
  49. Bams, Dennis & Honarvar, Iman, 2021. "VIX and liquidity premium," International Review of Financial Analysis, Elsevier, vol. 74(C).
  50. Alessi, Lucia & Ossola, Elisa & Panzica, Roberto, 2023. "When do investors go green? Evidence from a time-varying asset-pricing model," International Review of Financial Analysis, Elsevier, vol. 90(C).
  51. Ali, Syed Riaz Mahmood & Hasan, Mohammad Nurul & Östermark, Ralf, 2020. "Are idiosyncratic risk and extreme positive return priced in the Indian equity market?," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 530-545.
  52. Shen, Junyan & Yu, Jianfeng & Zhao, Shen, 2017. "Investor sentiment and economic forces," Journal of Monetary Economics, Elsevier, vol. 86(C), pages 1-21.
  53. Gong, Yuting & He, Zhongzhi & Xue, Wenjun, 2022. "EPU spillovers and stock return predictability: A cross-country study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  54. Liu, Shengnan & Kong, Ao & Gu, Rongbao & Guo, Wenjing, 2019. "Does idiosyncratic volatility matter? — Evidence from Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 393-401.
  55. Hou, Kewei & Loh, Roger K., 2016. "Have we solved the idiosyncratic volatility puzzle?," Journal of Financial Economics, Elsevier, vol. 121(1), pages 167-194.
  56. Christopher P. Clifford & Jon A. Fulkerson & Russell Jame & Bradford D. Jordan, 2021. "Salience and Mutual Fund Investor Demand for Idiosyncratic Volatility," Management Science, INFORMS, vol. 67(8), pages 5234-5254, August.
  57. Su, Xuan-Qi, 2016. "Does systematic distress risk drive the investment growth anomaly?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 240-248.
  58. Satoshi Sakamaki, 2013. "The Securities-Correlation Risks and the Volatility Effects in the Japanese Stock Market," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 9(3), pages 531-552, September.
  59. Pae, Yuntaek & Bae, Sung C. & Lee, Namhoon, 2018. "Idiosyncratic volatility and cash flow volatility: New evidence from S&P 500," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 127-135.
  60. Zhiyao Chen & Ilya A. Strebulaev & Yuhang Xing & Xiaoyan Zhang, 2021. "Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle: An Empirical Investigation," Management Science, INFORMS, vol. 67(5), pages 2751-2772, May.
  61. Jennie Bai & Turan G. Bali & Quan Wen, 2019. "Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence," NBER Working Papers 25995, National Bureau of Economic Research, Inc.
  62. Bai, Jennie & Bali, Turan G. & Wen, Quan, 2021. "Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1017-1037.
  63. Marie-Claude Beaulieu & Habiba Mrissa Bouden, 2020. "Does idiosyncratic risk matter in IPO long-run performance?," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 935-981, October.
  64. Holger Kraft & Eduardo S. Schwartz & Farina Weiss, 2013. "Growth Options and Firm Valuation," NBER Working Papers 18836, National Bureau of Economic Research, Inc.
  65. Tsai, Li-Chuan & Zhang, Ruhui & Zhao, Cuifang, 2020. "Can international supply chain induce a return premium? Evidence from U.S. leading high-technology firms and Taiwan stock market," Finance Research Letters, Elsevier, vol. 32(C).
  66. Joshua Traut, 2023. "What we know about the low-risk anomaly: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 297-324, September.
  67. Taylor, Mark & Filippou, Ilias & Rapach, David & Zhou, Guofu, 2020. "Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio," CEPR Discussion Papers 15305, C.E.P.R. Discussion Papers.
  68. Alessi, Lucia & Elisa, Ossola & Panzica, Roberto, 2021. "When do investors go green? Evidence from a time-varying asset-pricing model," JRC Working Papers in Economics and Finance 2021-13, Joint Research Centre, European Commission.
  69. Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2019. "Review of new trends in the literature on factor models and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 344-354.
  70. Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023. "Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach," Working Papers 202308, University of Pretoria, Department of Economics.
  71. Turan G. Bali & Florian Weigert, 2018. "Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?," Working Papers on Finance 1827, University of St. Gallen, School of Finance.
  72. Guo, Hui & Qiu, Buhui, 2014. "Options-implied variance and future stock returns," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 93-113.
  73. Chamil W SENARATHNE & Wei JIANGUO, 2020. "Testing for Heteroskedastic Mixture of Ordinary Least Squares Errors," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 73-91, July.
  74. Orlando, Beatrice & Tortora, Debora & Pezzi, Alberto & Bitbol-Saba, Nathalie, 2022. "The disruption of the international supply chain: Firm resilience and knowledge preparedness to tackle the COVID-19 outbreak," Journal of International Management, Elsevier, vol. 28(1).
  75. Turan G. Bali & Andriy Bodnaruk & Anna Scherbina & Yi Tang, 2018. "Unusual News Flow and the Cross Section of Stock Returns," Management Science, INFORMS, vol. 64(9), pages 4137-4155, September.
  76. Wang, Jianqiu & Wu, Ke & Pan, Jiening & Jiang, Ying, 2023. "Disagreement, speculation, and the idiosyncratic volatility," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 232-250.
  77. Ke Yang & Nan Hu & Fengping Tian, 2024. "Forecasting Crude Oil Volatility Using the Deep Learning‐Based Hybrid Models With Common Factors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(8), pages 1429-1446, August.
  78. Chen, Linda H. & Jiang, George J. & Xu, Danielle D. & Yao, Tong, 2020. "Dissecting the idiosyncratic volatility anomaly," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 193-209.
  79. Li Guo & Lin Peng & Yubo Tao & Jun Tu, 2017. "Joint News, Attention Spillover,and Market Returns," Papers 1703.02715, arXiv.org, revised Nov 2022.
  80. Chen, Chun-Da & Demirer, Rıza, 2022. "Oil beta uncertainty and global stock returns," Energy Economics, Elsevier, vol. 112(C).
  81. Jorida Papakroni, 2018. "The dispersion anomaly and analyst recommendations," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 861-896, April.
  82. Leite, André Luis & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & da Silveira Barbedo, Claudio Henrique, 2020. "The Fama-French’s five-factor model relation with interest rates and macro variables," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  83. Jungmu Kim & Yuen Jung Park, 2019. "Is Low-Volatility Investing Sustainable in the SME Stock Market of Korea? A Risk and Return Analysis," Sustainability, MDPI, vol. 11(13), pages 1-17, July.
  84. Shi, Yanlin & Liu, Wai-Man & Ho, Kin-Yip, 2016. "Public news arrival and the idiosyncratic volatility puzzle," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 159-172.
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