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Idiosyncratic risk and the cross-section of expected stock returns
16 references·16 citing·20 second hopsampled
Idiosyncratic risk and the cross-section of expected stock returns (2008)Idiosyncratic risk and the cross-section …The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Expected stock returns and volatility (1987)Expected stock returns and vo…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Social Performance and Firm Risk: Impact of the Financial Crisis (2016)Social Performance and Firm R…Have we solved the idiosyncratic volatility puzzle? (2016)Have we solved the idiosyncra…Corporate Environmental Responsibility and Firm Risk (2015)Corporate Environmental Respo…Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Arbitrage Asymmetry and the I…Frog in the Pan: Continuous Information and Momentum (2014)Frog in the Pan: Continuous I…Market Skewness Risk and the Cross Section of Stock Returns (2013)Market Skewness Risk and the …The impact of the dimensions of social performance on firm risk (2012)The impact of the dimensions …Precarious Politics and Return Volatility (2011)Precarious Politics and Retur…Limits-to-arbitrage, investment frictions, and the asset growth anomaly (2011)Limits-to-arbitrage, investme…Does Chatter Really Matter? Dynamics of User-Generated Content and Stock Performance (2011)Does Chatter Really Matter? D…Volatility Spreads and Expected Stock Returns (2009)Volatility Spreads and Expect…Return Reversals, Idiosyncratic Risk, and Expected Returns (2009)Return Reversals, Idiosyncrat…Expected Idiosyncratic Skewness (2009)Expected Idiosyncratic Skewne…Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2008)Maxing Out: Stocks as Lotteri…Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)Idiosyncratic Volatility and …High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence (2008)High Idiosyncratic Volatility…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A five-factor asset pricing model (2014)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Does the Stock Market Overreact? (1985)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Econometric Analysis of Cross Section and Panel Data (2001)Editor's Choice Digesting Anomalies: An Investment ApproachAsset pricing with liquidity risk (2005)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited

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  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • Cited by

    • 2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle944 cited
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    • 2011Does Chatter Really Matter? Dynamics of User-Generated Content and Stock Performance623 cited
    • 2011Precarious Politics and Return Volatility528 cited
    • 2008Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns517 cited
    • 2012The impact of the dimensions of social performance on firm risk443 cited
    • 2013Market Skewness Risk and the Cross Section of Stock Returns413 cited
    • 2015Corporate Environmental Responsibility and Firm Risk409 cited
    • 2009Volatility Spreads and Expected Stock Returns407 cited
    • 2009Return Reversals, Idiosyncratic Risk, and Expected Returns403 cited
    • 2008High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence393 cited
    • 2014Frog in the Pan: Continuous Information and Momentum328 cited
    • 2016Social Performance and Firm Risk: Impact of the Financial Crisis328 cited
    • 2011Limits-to-arbitrage, investment frictions, and the asset growth anomaly308 cited
    • 2016Have we solved the idiosyncratic volatility puzzle?297 cited