The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.
Idiosyncratic Volatility and the Cross Section of Expected Returns
Open accessAbstract
This paper examines the cross-sectional relation between idiosyncratic volatility and expected stock returns. The results indicate that i) the data frequency used to estimate idiosyncratic volatility, ii) the weighting scheme used to compute average portfolio returns, iii) the breakpoints utilized to sort stocks into quintile portfolios, and iv) using a screen for size, price, and liquidity play critical roles in determining the existence and significance of a relation between idiosyncratic risk and the cross section of expected returns. Portfoliolevel analyses based on two different measures of idiosyncratic volatility (estimated using daily and monthly data), three weighting schemes (value-weighted, equal-weighted, inverse volatility-weighted), three breakpoints (CRSP, NYSE, equal market share), and two different samples (NYSE/AMEX/NASDAQ and NYSE) indicate that no robustly significant relation exists between idiosyncratic volatility and expected returns.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*
Lintner, J. (1965) · The Journal of Finance · doi:10.1111/j.1540-6261.1965.tb02930.x · Cited by 2,452
Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings
FALKENSTEIN, E. G. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05204.x · Cited by 1,058
Cited by
Maxing out: Stocks as lotteries and the cross-section of expected returns
Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2010.08.014 · Cited by 1,624
Self-citationDoes Academic Research Destroy Stock Return Predictability?
MCLEAN, R. D., & PONTIFF, J. (2016) · The Journal of Finance · doi:10.1111/jofi.12365 · Cited by 1,566
High idiosyncratic volatility and low returns: International and further U.S. evidence
Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2009) · Journal of Financial Economics · doi:10.1016/j.jfineco.2007.12.005 · Cited by 1,439
Hou, K., Xue, C., & Zhang, L. (2020) · The Review of Financial Studies · doi:10.1093/rfs/hhy131 · Cited by 989
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
STAMBAUGH, R. F., YU, J., & YUAN, Y. (2015) · The Journal of Finance · doi:10.1111/jofi.12286 · Cited by 940
Metadata
- Authors
- Bali, T. G., & Cakici, N.
- Venue
- Journal of Financial and Quantitative Analysis
- Publisher
- Cambridge University Press (CUP)
- Published
- 2008-03
- Volume
- 43
- Issue
- 1
- Pages
- 29-58
- ISSN
- 0022-1090 (ISSN-L)
- 1756-6916
- OpenAlex
- W3125951730
- Cited by
- 660
- References
- 4
- FWCI
- 46.08
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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