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Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns
16 references·10 citing·23 second hopsampled
Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns (2010)Relation between time-series and cross-se…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Industry costs of equity (1997)Industry costs of equityThe Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…On estimating the expected return on the market (1980)On estimating the expected re…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Short-Run and Long-Run Components of Idiosyncratic Volatility and Stock Returns (2021)The Short-Run and Long-Run Co…Is idiosyncratic volatility priced in commodity futures markets? (2016)Is idiosyncratic volatility p…Idiosyncratic volatility and stock returns: Evidence from the MILA (2016)Idiosyncratic volatility and …Idiosyncratic Risk Innovations and the Idiosyncratic Risk-Return Relation (2016)Idiosyncratic Risk Innovation…Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain (2016)Customer-base concentration a…Incomplete information, idiosyncratic volatility and stock returns (2012)Incomplete information, idios…Impact of Idiosyncratic Volatility on Stock Returns: A Cross-Sectional Study (2012)Impact of Idiosyncratic Volat…The return impact of realized and expected idiosyncratic volatility (2011)The return impact of realized…Asset pricing with idiosyncratic risk: The Spanish case (2011)Asset pricing with idiosyncra…A New Look at Minimum Variance Investing (2010)A New Look at Minimum Varianc…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)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)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1997Industry costs of equity5,793 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited

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  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • Cited by

    • 2011The return impact of realized and expected idiosyncratic volatility58 cited
    • 2010A New Look at Minimum Variance Investing41 cited
    • 2016Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain38 cited
    • 2012Incomplete information, idiosyncratic volatility and stock returns35 cited
    • 2016Is idiosyncratic volatility priced in commodity futures markets?32 cited
    • 2011Asset pricing with idiosyncratic risk: The Spanish case30 cited
    • 2016Idiosyncratic volatility and stock returns: Evidence from the MILA29 cited
    • 2016Idiosyncratic Risk Innovations and the Idiosyncratic Risk-Return Relation29 cited
    • 2021The Short-Run and Long-Run Components of Idiosyncratic Volatility and Stock Returns27 cited
    • 2012Impact of Idiosyncratic Volatility on Stock Returns: A Cross-Sectional Study26 cited