The International Commonality of Idiosyncratic Variances

References

• Ang A , Liu J (2004) How to discount cashflows with time-varying expected returns. J. Finance 59(6):2745–2783.Crossref, Google Scholar
• Ang A , Hodrick RJ , Xing Y , Zhang X (2006) The cross-section of volatility and expected returns. J. Finance 61(1):259–299.Crossref, Google Scholar
• Ang A , Hodrick RJ , Xing Y , Zhang X (2009) High idiosyncratic volatility and low returns: International and further U.S. evidence. J. Financial Econom. 91(1):1–23.Crossref, Google Scholar
• Baele L , Bekaert G , Inghelbrecht K , Wei M (2020) Flights to safety. Rev. Financial Stud. 33(2):689–746.Crossref, Google Scholar
• Bakshi G , Chen Z (2005) Stock valuation in dynamic economies. J. Financial Markets 8(2):111–151.Crossref, Google Scholar
• Bali TG , Cakici N (2008) Idiosyncratic volatility and the cross section of expected returns. J. Financial Quant. Anal. 43(1):29–58.Crossref, Google Scholar
• Bali TG , Cakici N , Yan XS , Zhang Z (2005) Does idiosyncratic risk really matter? J. Finance 60(2):905–929.Crossref, Google Scholar
• Barillas F , Shanken J (2018) Comparing asset pricing models. J. Finance 73(2):715–754.Crossref, Google Scholar
• Barinov A, Chabakauri G (2023) Idiosyncratic volatility, growth options, and the cross-section of returns. Rev. Asset Pricing Stud. 13(4):653–690.Google Scholar
• Bartram SM , Brown G , Stulz RM (2012) Why are U.S. stocks more volatile? J. Finance 67(4):1329–1370.Crossref, Google Scholar
• Bartram SM, Brown G, Stulz RM (2016) Why does idiosyncratic risk increase with market risk? NBER Working Paper No. 22492, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Bekaert G , Harvey CR (2000) Foreign speculators and asset prices. J. Finance 55(2):565–613.Crossref, Google Scholar
• Bekaert G , Hoerova M (2014) The VIX, the variance premium and stock market volatility. J. Econometrics 183(2):181–192.Crossref, Google Scholar
• Bekaert G , Engstrom E , Xu N (2022) The time variation in risk appetite and uncertainty. Management Sci. 68(6):3975–4004.Link, Google Scholar
• Bekaert G , Hodrick RJ , Zhang X (2009) International stock return comovements. J. Finance 64(6):2591–2626.Crossref, Google Scholar
• Bekaert G , Hodrick RJ , Zhang X (2012) Aggregate idiosyncratic volatility. J. Financial Quant. Anal. 47(6):1155–1185.Crossref, Google Scholar
• Bloom N (2009) The impact of uncertainty shocks. Econometrica 77(3):623–685.Crossref, Google Scholar
• Bollerslev T , Tauchen G , Zhou H (2009) Expected stock returns and variance risk premia. Rev. Financial Stud. 22(11):4463–4492.Crossref, Google Scholar
• Brandt MW , Brav A , Graham JR , Kumar A (2010) The idiosyncratic volatility puzzle: Time trend or speculative episodes? Rev. Financial Stud. 23(2):863–899.Crossref, Google Scholar
• Brown G , Kapadia N (2007) Firm-specific risk and equity market development. J. Financial Econom. 84(2):358–388.Crossref, Google Scholar
• Campbell JY , Cochrane JH (1999) By force of habit: A consumption-based explanation of aggregate stock market behavior. J. Political Econom. 107(2):205–251.Crossref, Google Scholar
• Campbell JY , Lettau M , Malkiel BG , Xu Y (2001) Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. J. Finance 56(1):1–43.Crossref, Google Scholar
• Cao C , Simin T , Zhao J (2008) Can growth options explain the trend in idiosyncratic risk? Rev. Financial Stud. 21(6):2599–2633.Crossref, Google Scholar
• Christiano LJ , Motto R , Rostagno M (2014) Risk shocks. Amer. Econom. Rev. 104(1):27–65.Crossref, Google Scholar
• Corsi F (2009) A simple approximate long-memory model of realized volatility. J. Financial Econom. 7(2):174–196.Crossref, Google Scholar
• Detzel A, Duarte J, Kamara A, Siegel S, Sun C (2023) The cross-section of volatility and expected returns: Then and now. Crit. Finance Rev. 12(1–4):9–56.Google Scholar
• Dew-Becker I, Giglio S (2023) Cross-sectional uncertainty and the business cycle: Evidence from 40 years of options data. Amer. Econom. J. Macroeconomics 15(2):65–96.Google Scholar
• Duarte J , Kamara A , Siegel S , Sun C (2014) The systematic risk of idiosyncratic volatility. Working paper.Google Scholar
• Fama EF , French KR (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33(1):3–56.Crossref, Google Scholar
• Fama EF , French KR (1996) Multifactor explanations of asset pricing anomalies. J. Finance 51(1):55–84.Crossref, Google Scholar
• Fama EF , French KR (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.Crossref, Google Scholar
• French KR , Schwert GW , Stambaugh RF (1987) Expected stock returns and volatility. J. Financial Econom. 19(1):3–29.Crossref, Google Scholar
• Goyal A , Santa-Clara P (2003) Idiosyncratic risk matters! J. Finance 58(3):975–1007.Crossref, Google Scholar
• Guo H , Savickas R (2008) Average idiosyncratic volatility in G7 countries. Rev. Financial Stud. 21(3):1259–1296.Crossref, Google Scholar
• Henkel SJ , Martin JS , Nardari F (2011) Time-varying short-horizon predictability. J. Financial Econom. 99(3):560–580.Crossref, Google Scholar
• Herskovic B , Kelly B , Lustig H , Van Nieuwerburgh S (2016) The common factor in idiosyncratic volatility: Quantitative asset pricing implications. J. Financial Econom. 119(2):249–283.Crossref, Google Scholar
• Hodrick RJ , Prescott EC (1997) Postwar US business cycles: An empirical investigation. J. Money Credit Bank. 29(1):1–16.Crossref, Google Scholar
• Hou K , Xue C , Zhang L (2015) Digesting anomalies: An investment approach. Rev. Financial Stud. 28(3):650–705.Crossref, Google Scholar
• Ince OS , Porter BR (2006) Individual equity return data from Thomson Datastream: Handle with care! J. Financial Res. 29(4):463–479.Crossref, Google Scholar
• Irvine PJ , Pontiff J (2009) Idiosyncratic return volatility, cash flows, and product market competition. Rev. Financial Stud. 22(3):1149–1177.Crossref, Google Scholar
• Jurado K , Ludvigson SC , Ng S (2015) Measuring uncertainty. Amer. Econom. Rev. 105(3):1177–1216.Crossref, Google Scholar
• Justiniano A , Primiceri GE (2008) The time-varying volatility of macroeconomic fluctuations. Amer. Econom. Rev. 98(3):604–641.Crossref, Google Scholar
• Kozeniauskas N , Orlik A , Veldkamp L (2018) What are uncertainty shocks? J. Monetary Econom. 100:1–15.Crossref, Google Scholar
• Martin I (2017) What is the expected return on the market? Quart. J. Econom. 132(1):367–433.Crossref, Google Scholar
• Newey WK, West KD (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Google Scholar
• Nissim D , Ziv A (2001) Dividend changes and future profitability. J. Finance 56(6):2111–2133.Crossref, Google Scholar
• Pastor L , Veronesi P (2003) Stock valuation and learning about profitability. J. Finance 58(5):1749–1789.Crossref, Google Scholar
• Pastor L , Veronesi P (2006) Was there a Nasdaq bubble in the late 1990s? J. Financial Econom. 81(1):61–100.Crossref, Google Scholar
• Pastor L , Veronesi P (2009) Technological revolutions and stock prices. Amer. Econom. Rev. 99(4):1451–1483.Crossref, Google Scholar
• Stambaugh RF , Yuan Y (2017) Mispricing factors. Rev. Financial Stud. 30(4):1270–1315.Crossref, Google Scholar
• Veronesi P (1999) Stock market overreactions to bad news in good times: A rational expectations equilibrium model. Rev. Financial Stud. 12(5):975–1007.Crossref, Google Scholar
• Vuolteenaho T (2002) What drives firm-level stock returns? J. Finance 57(1):233–264.Crossref, Google Scholar
• Wei SX , Zhang C (2006) Why did individual stocks become more volatile? J. Bus. 79(1):259–292.Crossref, Google Scholar
• Zhang C (2010) A reexamination of the causes of time-varying stock return volatilities. J. Financial Quant. Anal. 45(3):663–684.Crossref, Google Scholar