The DOI matches its Crossref record; 30 of the 30 references it cites were found in a registry or an index.
Investigating the Behavior of Idiosyncratic Volatility*
Open accessAbstract
This paper studies the behavior of idiosyncratic volatility for the post war period. Using aggregate idiosyncratic volatility statistics constructed from the Fama and French (1993) three-factor model, we find that the volatility of individual stocks appears to have increased over time. This trend is not solely attributed to the increasing prominence of the NASDAQ market. We go on to suggest that the idiosyncratic volatility of individual stocks is associated with the degree to which their shares are owned by financial institutions. Finally, we show that idiosyncratic volatility is also positively related to expected earning growth.
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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
The Cross‐Section of Expected Stock Returns
FAMA, E. F., & FRENCH, K. R. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04398.x · Cited by 17,261
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90064-x · Cited by 4,270
Expected stock returns and volatility
French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987) · Journal of Financial Economics · doi:10.1016/0304-405x(87)90026-2 · Cited by 4,107
Why Does Stock Market Volatility Change Over Time?
SCHWERT, G. W. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02647.x · Cited by 3,427
Permanent and Temporary Components of Stock Prices
Fama, E. F., & French, K. R. (1988) · Journal of Political Economy · doi:10.1086/261535 · Cited by 3,025
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
Campbell, J. Y., Lettau, M., Malkiel, B. G., & Xu, Y. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00318 · Cited by 2,415
Self-citationThe distribution of realized stock return volatility
Andersen, T. (2001) · Journal of Financial Economics · doi:10.1016/s0304-405x(01)00055-1 · Cited by 2,259
A VARIANCE DECOMPOSITION FOR STOCK RETURNS
Link, C., & Campbell, J. Y. (1990) · Cited by 1,881
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
Engle, R. F., & Russell, J. R. (1998) · Econometrica · doi:10.2307/2999632 · Cited by 1,817
Cited by
Market Frictions, Price Delay, and the Cross-Section of Expected Returns
Hou, K., & Moskowitz, T. J. (2005) · Review of Financial Studies · doi:10.1093/rfs/hhi023 · Cited by 1,083
Luo, X., & Bhattacharya, C. B. (2009) · Journal of Marketing · doi:10.1509/jmkg.73.6.198 · Cited by 962
Greener Pastures and the Impact of Dynamic Institutional Preferences
Bennett, J. A., Sias, R. W., & Starks, L. T. (2003) · Review of Financial Studies · doi:10.1093/rfs/hhg040 · Cited by 668
Cassell, C. A., Huang, S. X., Manuel Sanchez, J., & Stuart, M. D. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.10.008 · Cited by 451
Why Did Individual Stocks Become More Volatile?*
Wei, S. X., & Zhang, C. (2006) · The Journal of Business · doi:10.1086/497411 · Cited by 381
Metadata
- Authors
- Xu, Y., & Malkiel, B. G.
- Venue
- The Journal of Business
- Publisher
- University of Chicago Press
- Published
- 2003-10
- Volume
- 76
- Issue
- 4
- Pages
- 613-645
- ISSN
- 0021-9398 (ISSN-L)
- 1537-5374
- OpenAlex
- W3125210501
- Cited by
- 532
- References
- 30
- FWCI
- 25.95
- Type
- journal article
- Language
- en
- Open access
- green
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Data sources
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).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
