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Dissecting the idiosyncratic volatility anomaly
16 references·2 citing·26 second hop
Dissecting the idiosyncratic volatility anomaly (2020)Dissecting the idiosyncratic volatility a…A five-factor asset pricing model (2014)A five-factor asset pricing m…Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Maxing out: Stocks as lotteri…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…Dissecting Anomalies (2007)Dissecting AnomaliesThe Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Capital Investments and Stock Returns (2004)Capital Investments and Stock…A New Estimate of Transaction Costs (1999)A New Estimate of Transaction…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? (1997)Do Stock Prices Fully Reflect…Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Do Stock Prices Fully Reflect…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Size-related anomalies and stock return seasonality (1983)Size-related anomalies and st…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Arbitrage Asymmetry and the I…Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2012)Arbitrage Asymmetry and the I…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)Liquidity and leverage (2008)Digesting Anomalies: An Investment Approach (2012)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The economic implications of corporate financial reporting (2005)The market pricing of accruals quality (2005)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)Illiquidity and stock returns: cross-section and time-series effects (2002)Capital markets research in accounting (2001)… and the Cross-Section of Expected Returns (2015)Hedging Climate Change News (2019)Dissecting green returns (2022)Empirical Asset Pricing via Machine Learning (2020)
this work references cited by second hop

References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1996Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?2,636 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 1997Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?2,318 cited
  • 1983Size-related anomalies and stock return seasonality1,842 cited
  • 2010Maxing out: Stocks as lotteries and the cross-section of expected returns1,652 cited
  • 2007Dissecting Anomalies1,573 cited
  • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence1,507 cited
  • 2004Capital Investments and Stock Returns1,411 cited
  • 1999A New Estimate of Transaction Costs1,340 cited

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  • 2008Idiosyncratic risk and the cross-section of expected stock returns1,067 cited
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    • 2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle944 cited
    • 2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle18 cited