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Idiosyncratic risk and the cross-section of expected stock returns · Study

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ArticleIdiosyncratic risk and the cross-section of expected stock returns

Fangjian Fu2008

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Articlegreen2008

Idiosyncratic risk and the cross-section of expected stock returns

1,067 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1993Common risk factors in the returns on stocks and bonds 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 2002Illiquidity and stock returns: cross-section and time-series effects

Cited by

2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle 2009Expected Idiosyncratic Skewness 2008Idiosyncratic Volatility and the Cross Section of Expected Returns 2011Does Chatter Really Matter? Dynamics of User-Generated Content and Stock Performance 2011Precarious Politics and Return Volatility 2008Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

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Details

Year2008

Typearticle

Published2008-11-07

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations1,067

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2008.02.003

openalex_workW2042941394

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2012The impact of the dimensions of social performance on firm risk

2013Market Skewness Risk and the Cross Section of Stock Returns