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Does Idiosyncratic Volatility Matter? New Zealand Evidence
16 references·4 citing·29 second hopsampled
Does Idiosyncratic Volatility Matter? New Zealand Evidence (2007)Does Idiosyncratic Volatility Matter? New…The Capital Asset Pricing Model: Theory and Evidence (2004)The Capital Asset Pricing Mod…Naive Diversification Strategies in Defined Contribution Saving Plans (2001)Naive Diversification Strateg…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…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…Fundamentals and Stock Returns in Japan (1991)Fundamentals and Stock Return…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIDebt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Debt/Equity Ratio and Expecte…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Persuasive evidence of market inefficiency (1985)Persuasive evidence of market…The relationship between earnings' yield, market value and return for NYSE common stocks (1983)The relationship between earn…The relationship between return and market value of common stocks (1981)The relationship between retu…Stock market return predictability: Does network topology matter? (2017)Stock market return predictab…Growth options, option exercise and firms’ systematic risk (2013)Growth options, option exerci…Does Idiosyncratic Volatility Matter in the Emerging Markets? Istanbul Stock Exchange Evidence (2013)Does Idiosyncratic Volatility…Market Risk in Demutualized Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas (2006)Market Risk in Demutualized S…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Corporate financing and investment decisions when firms have information that investors do not have (1984)Twitter mood predicts the stock market (2011)ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)An Intertemporal Capital Asset Pricing Model (1973)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Econometrics of Financial Markets (2012)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Investor Psychology and Asset Pricing (2001)A model of investor sentiment / (1997)A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1991Efficient Capital Markets: II5,761 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,544 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 2004The Capital Asset Pricing Model: Theory and Evidence2,081 cited
  • 1985Persuasive evidence of market inefficiency1,951 cited
  • 1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited
  • 2001Naive Diversification Strategies in Defined Contribution Saving Plans1,538 cited
  • 1991Fundamentals and Stock Returns in Japan1,451 cited

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  • 1988Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence1,336 cited
  • Cited by

    • 2013Does Idiosyncratic Volatility Matter in the Emerging Markets? Istanbul Stock Exchange Evidence24 cited
    • 2013Growth options, option exercise and firms’ systematic risk16 cited
    • 2006Market Risk in Demutualized Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas15 cited
    • 2017Stock market return predictability: Does network topology matter?15 cited