SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Does Idiosyncratic Risk Really Matter?
16 references·16 citing·31 second hopsampled
Does Idiosyncratic Risk Really Matter? (2005)Does Idiosyncratic Risk Really Matter?Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The distribution of realized stock return volatility (2001)The distribution of realized …Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…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…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…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…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…On estimating the expected return on the market (1980)On estimating the expected re…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Common Risk Factors in Cryptocurrency (2019)Common Risk Factors in Crypto…Does Tax Risk Affect Investor Valuation of Tax Avoidance? (2017)Does Tax Risk Affect Investor…Reference-dependent preferences and the risk–return trade-off (2016)Reference-dependent preferenc…Average correlation and stock market returns (2010)Average correlation and stock…Return Reversals, Idiosyncratic Risk, and Expected Returns (2009)Return Reversals, Idiosyncrat…Is There an Intertemporal Relation between Downside Risk and Expected Returns? (2009)Is There an Intertemporal Rel…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…High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence (2008)High Idiosyncratic Volatility…The intertemporal relation between expected returns and risk (2007)The intertemporal relation be…Firm-specific risk and equity market development☆ (2007)Firm-specific risk and equity…Average Idiosyncratic Volatility in G7 Countries (2007)Average Idiosyncratic Volatil…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Idiosyncratic Volatility and Product Market Competition* (2006)Idiosyncratic Volatility and …Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk (2006)Cross-sectional Variation in …The Cross-Section of Volatility and Expected Returns (2004)The Cross-Section of Volatili…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Market structure, information, futures markets, and price formation. (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Liquidity and leverage (2008)Digesting Anomalies: An Investment Approach (2012)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)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)ARCH modeling in finance (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,701 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,591 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,542 cited
  • 2001The distribution of realized stock return volatility

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2,264 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • Cited by

    • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
    • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence1,533 cited
    • 2008Idiosyncratic Volatility and the Cross Section of Expected Returns660 cited
    • 2019Common Risk Factors in Cryptocurrency641 cited
    • 2004The Cross-Section of Volatility and Expected Returns612 cited
    • 2006Idiosyncratic Volatility and Product Market Competition*511 cited
    • 2009Return Reversals, Idiosyncratic Risk, and Expected Returns403 cited
    • 2007Firm-specific risk and equity market development☆362 cited
    • 2009Is There an Intertemporal Relation between Downside Risk and Expected Returns?288 cited
    • 2010Average correlation and stock market returns259 cited
    • 2006Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk248 cited
    • 2007The intertemporal relation between expected returns and risk237 cited
    • 2017Does Tax Risk Affect Investor Valuation of Tax Avoidance?236 cited
    • 2007Average Idiosyncratic Volatility in G7 Countries206 cited
    • 2008High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence185 cited
    • 2016Reference-dependent preferences and the risk–return trade-off183 cited