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Idiosyncratic Volatility and Expected Returns at the Global Level
16 references·4 citing·31 second hopsampled
Idiosyncratic Volatility and Expected Returns at the Global Level (2015)Idiosyncratic Volatility and Expected Ret…Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio (2016)Equilibrium in an Imperfect M…Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Maxing out: Stocks as lotteri…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 …Idiosyncratic risk and the cross-section of expected stock returns (2008)Idiosyncratic risk and the cr…High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…There is a risk-return trade-off after all (2005)There is a risk-return trade-…Idiosyncratic Risk Matters! (2003)Idiosyncratic Risk Matters!Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Why Not Diversify Internationally Rather Than Domestically? (1974)Why Not Diversify Internation…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns (2022)Macroeconomics matter: Leadin…The Cross Section of Country Equity Returns: A Review of Empirical Literature (2019)The Cross Section of Country …The momentum effect in country-level stock market anomalies (2018)The momentum effect in countr…Does Idiosyncratic Volatility Matter at the Global Level? (2018)Does Idiosyncratic Volatility…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)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)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)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)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 distribution of realized stock return volatility (2001)Asymmetric correlations of equity portfolios (2002)Default Risk in Equity Returns (2004)The Econometrics of Financial Markets (2012)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected Stock Returns and Variance Risk Premia (2009)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Multifactor Explanations of Asset Pricing Anomalies (1996)Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Does Academic Research Destroy Stock Return Predictability? (2015)Replicating Anomalies (2018)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Value and Momentum Everywhere (2013)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 2010Maxing out: Stocks as lotteries and the cross-section of expected returns1,631 cited
  • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence1,440 cited
  • 2003Idiosyncratic Risk Matters!1,171 cited
  • 2008Idiosyncratic risk and the cross-section of expected stock returns1,067 cited
  • 2005There is a risk-return trade-off after all1,019 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited
  • 2008Idiosyncratic Volatility and the Cross Section of Expected Returns660 cited
  • 2016Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio

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542 cited
  • 2008Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns517 cited
  • Cited by

    • 2019The Cross Section of Country Equity Returns: A Review of Empirical Literature33 cited
    • 2018The momentum effect in country-level stock market anomalies29 cited
    • 2018Does Idiosyncratic Volatility Matter at the Global Level?26 cited
    • 2022Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns21 cited