The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?
Open accessAbstract
Campbell, Lettau, Malkiel, and Xu (2001) document a positive trend in idiosyncratic volatility during the 1962–1997 period. We show that by 2003 volatility falls back to pre-1990s levels. Furthermore, we show that the increase and subsequent reversal is concentrated among firms with low stock prices and high retail ownership. This evidence suggests that the increase in idiosyncratic volatility through the 1990s was not a time trend but, rather, an episodic phenomenon, at least partially associated with retail investors. Results from cross-sectional regressions, conditional trend estimation, stock-split events, and “attention-grabbing” events are consistent with a retail trading effect.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Computation and analysis of multiple structural change models
Bai, J., & Perron, P. (2003) · Journal of Applied Econometrics · doi:10.1002/jae.659 · Cited by 5,771
Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors
Barber, B. M., & Odean, T. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00226 · Cited by 3,955
Odean, T. (1999) · American Economic Review · doi:10.1257/aer.89.5.1279 · Cited by 2,247
Cited by
Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
Barberis, N., & Huang, M. (2008) · American Economic Review · doi:10.1257/aer.98.5.2066 · Cited by 1,544
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
Why Do U.S. Firms Hold So Much More Cash Than They Used To?
Bates, T., Kahle, K., & Stulz, R. (2006) · National Bureau of Economic Research · doi:10.3386/w12534 · Cited by 367
Retail Trading in Options and the Rise of the Big Three Wholesalers
BRYZGALOVA, S., PAVLOVA, A., & SIKORSKAYA, T. (2023) · The Journal of Finance · doi:10.1111/jofi.13285 · Cited by 160
Metadata
- Authors
- Brandt, M. W., Brav, A., Graham, J. R., & Kumar, A.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2009-12-05
- Volume
- 23
- Issue
- 2
- Pages
- 863-899
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3124683565
- Cited by
- 517
- References
- 3
- FWCI
- 54.90
- Type
- journal article
- Language
- en
- Open access
- green
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes? https://app.cochat.ai/papers/10.1093/rfs/hhp087
- The paper
- Brandt, M. W., Brav, A., Graham, J. R., & Kumar, A. (2010). The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes? Review of Financial Studies. https://doi.org/10.1093/rfs/hhp087
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.
