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Public news arrival and the idiosyncratic volatility puzzle · Study

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ArticlePublic news arrival and the idiosyncratic volatility puzzle

Yanlin Shi2016

Article2016

Public news arrival and the idiosyncratic volatility puzzle

Yanlin Shi · Wai-Man Liu · Kin-Yip Ho

51 citations·0/0 files stored·Journal of Empirical Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches 1996Multifactor Explanations of Asset Pricing Anomalies 1987A Simple Model of Capital Market Equilibrium with Incomplete Information 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 2006The Cross‐Section of Volatility and Expected Returns 1993Measuring and Testing the Impact of News on Volatility

Cited by

2024Dual effects of investor sentiment and uncertainty in financial markets 2017Does news matter in China’s foreign exchange market? Chinese RMB volatility and public information arrivals 2019Risk appetite, idiosyncratic volatility and expected returns 2019News media analytics in finance: a survey 2019Media Attention and the Volatility Effect 2021IPO withdrawals: Are corporate governance and VC characteristics the guiding light in the rough sea of volatile markets?

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2011Empirical cross-sectional asset pricing: a surveyarticle · 17 shared references 2016Empirical Asset Pricing: The Cross Section of Stock Returnsarticle · 15 shared references 2015Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approacharticle · 13 shared references 2015The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?article · 13 shared references 2019Volatility and the cross-section of corporate bond returnsarticle · 12 shared references 2012Industry‐Specific Human Capital, Idiosyncratic Risk, and the Cross‐Section of Expected Stock Returnsarticle · 12 shared references

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Year2016

Typearticle

Published2016-03-12

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations51

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jempfin.2016.03.001

openalex_workW2293684740

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