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A Reexamination of the Causes of Time-Varying Stock Return Volatilities
16 references·9 citing·50 second hopsampled
A Reexamination of the Causes of Time-Varying Stock Return Volatilities (2010)A Reexamination of the Causes of Time-Var…The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes? (2009)The Idiosyncratic Volatility …Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition (2008)Idiosyncratic Return Volatili…Firm-specific risk and equity market development☆ (2007)Firm-specific risk and equity…Why Did Individual Stocks Become More Volatile?* (2006)Why Did Individual Stocks Bec…Can Growth Options Explain the Trend in Idiosyncratic Risk? (2006)Can Growth Options Explain th…New lists: Fundamentals and survival rates (2004)New lists: Fundamentals and s…Stock Valuation and Learning about Profitability (2003)Stock Valuation and Learning …Investigating the Behavior of Idiosyncratic Volatility* (2003)Investigating the Behavior of…Greener Pastures and the Impact of Dynamic Institutional Preferences (2003)Greener Pastures and the Impa…What Drives Firm‐Level Stock Returns? (2002)What Drives Firm‐Level Stock …Stock volatility in the new millennium: how wacky is Nasdaq? (2002)Stock volatility in the new m…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Stock Prices and Volume (1992)Stock Prices and VolumeWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…ESG rating disagreement and idiosyncratic return volatility: Evidence from China (2024)ESG rating disagreement and i…Is information risk priced? Evidence from abnormal idiosyncratic volatility (2019)Is information risk priced? E…Global investigation on the country-level idiosyncratic volatility and its determinants (2019)Global investigation on the c…Does Information Intensity Matter for Stock Returns? Evidence from Form 8-K Filings (2016)Does Information Intensity Ma…Differences in Trading and Pricing Between Stock and Index Options (2014)Differences in Trading and Pr…R 2 and the Economy (2013)R 2 and the EconomyOptions trading volume and stock price response to earnings announcements (2013)Options trading volume and st…Idiosyncratic Volatility, Institutional Ownership, and Investment Horizon (2013)Idiosyncratic Volatility, Ins…Aggregate Idiosyncratic Volatility (2008)Aggregate Idiosyncratic Volat…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Capitalism, Socialism and Democracy (1997)The age of temporary advantage (2010)Customer Concentration and Loan Contract Terms (2014)Are US Industries Becoming More Concentrated? 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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1992Stock Prices and Volume1,295 cited
  • 2002What Drives Firm‐Level Stock Returns?1,003 cited
  • 2003Stock Valuation and Learning about Profitability1,002 cited
  • 2008Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition717 cited
  • 2003Greener Pastures and the Impact of Dynamic Institutional Preferences668 cited
  • 2004New lists: Fundamentals and survival rates646 cited
  • 2003Investigating the Behavior of Idiosyncratic Volatility*541 cited
  • 2009The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?518 cited
  • 2006Why Did Individual Stocks Become More Volatile?*381 cited
  • 2006Can Growth Options Explain the Trend in Idiosyncratic Risk?371 cited
  • 2007Firm-specific risk and equity market development☆354 cited
  • 2002

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Stock volatility in the new millennium: how wacky is Nasdaq?
153 cited

Cited by

  • 2019Is information risk priced? Evidence from abnormal idiosyncratic volatility89 cited
  • 2024ESG rating disagreement and idiosyncratic return volatility: Evidence from China75 cited
  • 2013R 2 and the Economy63 cited
  • 2014Differences in Trading and Pricing Between Stock and Index Options62 cited
  • 2016Does Information Intensity Matter for Stock Returns? Evidence from Form 8-K Filings61 cited
  • 2013Options trading volume and stock price response to earnings announcements52 cited
  • 2013Idiosyncratic Volatility, Institutional Ownership, and Investment Horizon37 cited
  • 2008Aggregate Idiosyncratic Volatility36 cited
  • 2019Global investigation on the country-level idiosyncratic volatility and its determinants25 cited