The Short-Run and Long-Run Components of Idiosyncratic Volatility and Stock Returns
Published Online:15 Feb 2021https://doi.org/10.1287/mnsc.2020.3884
References
- (2008) Stock returns and volatility: Pricing the short-run and long-run components of market risk. J. Finance 63(6):2997–3030.Crossref, Google Scholar
- (2006) The cross-section of volatility and expected returns. J. Finance 61(1):259–299.Crossref, Google Scholar
- (2009) High idiosyncratic volatility and low returns: International and further us evidence. J. Financial Econom. 91(1):1–23.Crossref, Google Scholar
- (2016) Idiosyncratic cash flows and systematic risk. J. Finance 71(1):425–456.Crossref, Google Scholar
- (2008) Idiosyncratic volatility and the cross section of expected returns. J. Financial Quant. Anal. 43(01):29–58.Crossref, Google Scholar
- (2011) Maxing out: Stocks as lotteries and the cross-section of expected returns. J. Financial Econom. 99(2):427–446.Crossref, Google Scholar
- (2002) Econometric analysis of realized volatility and its use in estimating stochastic volatility models. J. Roy. Statist. Soc. Ser. B. Statist. Methodol. 64(2):253–280.Crossref, Google Scholar
- (1999) Optimal investment, growth options, and security returns. J. Finance 54(5):1553–1607.Crossref, Google Scholar
- (2017) Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns. J. Econom. Theory 168:400–431.Crossref, Google Scholar
- (2002) Estimating stochastic volatility diffusion using conditional moments of integrated volatility. J. Econometrics 109(1):33–65.Crossref, Google Scholar
- (2008) Can growth options explain the trend in idiosyncratic risk? Rev. Financial Stud. 21(6):2599–2633.Crossref, Google Scholar
- (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.Crossref, Google Scholar
- (2004) Corporate investment and asset price dynamics: Implications for the cross-section of returns. J. Finance 59(6):2577–2603.Crossref, Google Scholar
- (2020) Strategic risk shifting and the idiosyncratic volatility puzzle: An empirical investigation. Management Sci., ePub ahead of print July 17, https://doi.org/10.1287/mnsc.2020.3593Google Scholar
- (2008) Option valuation with long-run and short-run volatility components. J. Financial Econom. 90(3):272–297.Crossref, Google Scholar
- (2010) Expected volatility, unexpected volatility, and the cross-section of stock returns. J. Financial Res. 33(2):103–123.Crossref, Google Scholar
- (1999) Portfolio advice for a multifactor world. Econom. Perspect. 23(3):59–78.Google Scholar
- (2009) A simple approximate long-memory model of realized volatility. J. Financial Econom. 7(2):174–196.Crossref, Google Scholar
- (1995) Stock returns and volatility a firm-level analysis. J. Financial Econom. 37(3, 399–420.Crossref, Google Scholar
- (1999) A permanent and transitory component model of stock return volatility. Engle RF, White H, eds. Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger (Oxford University Press, New York), 475–497.Google Scholar
- (1992) The cross-section of expected stock returns. J. Finance 47(2):427–465.Google Scholar
- (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33(1):3–56.Crossref, Google Scholar
- (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.Crossref, Google Scholar
- (2016) Dissecting anomalies with a five-factor model. Rev. Financial Stud. 29(1):69–103.Crossref, Google Scholar
- (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81(3):607–636.Crossref, Google Scholar
- (2012) Expected idiosyncratic volatility measures and expected returns. Financial Management 41(3):519–553.Crossref, Google Scholar
- (1987) Expected stock returns and volatility. J. Financial Econom. 19(1):3–29.Crossref, Google Scholar
- (2009) Idiosyncratic risk and the cross-section of expected stock returns. J. Financial Econom. 91(1):24–37.Crossref, Google Scholar
- (1989) A test of the efficiency of a given portfolio. Econometrica 57(5):1121–1152.Crossref, Google Scholar
- (2012) Real options, volatility, and stock returns. J. Finance 67(4):1499–1537.Crossref, Google Scholar
- (2014) On the relation between EGARCH idiosyncratic volatility and expected stock returns. J. Financial Quant. Anal. 49(1):271–296.Crossref, Google Scholar
- (2008) Average idiosyncratic volatility in G7 countries. Rev. Financial Stud. 21(3):1259–1296.Crossref, Google Scholar
- (2010) Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns. J. Banking Finance 34(7):1637–1649.Crossref, Google Scholar
- (1988) Residual risk, trading costs, and commodity futures risk premia. Rev. Financial Stud. 1(2):173–193.Crossref, Google Scholar
- (2010) Return reversals, idiosyncratic risk, and expected returns. Rev. Financial Stud. 23(1):147–168.Crossref, Google Scholar
- (1990) Evidence of predictable behavior of security returns. J. Finance 45(3):881–898.Crossref, Google Scholar
- (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48(1):65–91.Crossref, Google Scholar
- (1990) Fads, martingales, and market efficiency. Quart. J. Econom. 105(1):1–28.Crossref, Google Scholar
- (1973) An intertemporal capital asset pricing model. Econometrica 41(5):867–887.Crossref, Google Scholar
- (1987) A simple model of capital market equilibrium with incomplete information. J. Finance 42(3):483–510.Crossref, Google Scholar
- (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
- (2013) The other side of value: The gross profitability premium. J. Financial Econom. 108(1):1–28.Crossref, Google Scholar
- (2015) Arbitrage asymmetry and the idiosyncratic volatility puzzle. J. Finance 70(5):1903–1948.Crossref, Google Scholar
- (2004) Capital investments and stock returns. J. Financial Quant. Anal. 39(4):677–700.Crossref, Google Scholar

