Aabo, Tom Pantzalis, Christos and Park, Jung Chul 2017. Idiosyncratic volatility: An indicator of noise trading?. Journal of Banking & Finance, Vol. 75, p. 136.
Bianchi, Daniele Guidolin, Massimo and Ravazzolo, Francesco 2017. Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section. Journal of Business & Economic Statistics, Vol. 35, Issue. 1, p. 110.
González-Urteaga, Ana and Rubio, Gonzalo 2017. The joint cross-sectional variation of equity returns and volatilities. Journal of Banking & Finance, Vol. 75, p. 17.
Bekaert, Geert Harvey, Campbell R. Kiguel, Andrea and Wang, Xiaozheng 2016. Globalization and Asset Returns. Annual Review of Financial Economics, Vol. 8, Issue. 1, p. 221.
Boone, Audra L. Floros, Ioannis V. and Johnson, Shane A. 2016. Redacting proprietary information at the initial public offering. Journal of Financial Economics, Vol. 120, Issue. 1, p. 102.
Byrne, Joseph P. and Fiess, Norbert 2016. International capital flows to emerging markets: National and global determinants. Journal of International Money and Finance, Vol. 61, p. 82.
Esposito, Marcello 2016. The dynamics of volatility and correlation during periods of crisis: Implications for active asset management. Journal of Asset Management, Vol. 17, Issue. 3, p. 135.
Grant, Andrew and Satchell, Steve 2016. Theoretical decompositions of the cross-sectional dispersion of stock returns. Quantitative Finance, Vol. 16, Issue. 2, p. 169.
Kinnunen, Jyri and Martikainen, Minna 2016. Expected Returns and Idiosyncratic Risk: Industry-level Evidence from Russia. Emerging Markets Finance and Trade,
Lee, Junghoon 2016. The impact of idiosyncratic uncertainty when investment opportunities are endogenous. Journal of Economic Dynamics and Control, Vol. 65, p. 105.
Nam, Kiseok Khaksari, Shahriar and Kang, Moonsoo 2016. Trend in aggregate idiosyncratic volatility. Review of Financial Economics,
Pizzutilo, Fabio 2016. Measuring the under-diversification of socially responsible investments. Applied Economics Letters, p. 1.
Semaan, Elias and Drake, Pamela Peterson 2016. TARP and the long-term perception of risk. Journal of Banking & Finance, Vol. 68, p. 216.
Song, Zhongzhi 2016. Asset Growth and Idiosyncratic Return Volatility. Review of Finance, Vol. 20, Issue. 3, p. 1235.
Angelidis, Timotheos Sakkas, Athanasios and Tessaromatis, Nikolaos 2015. Stock market dispersion, the business cycle and expected factor returns. Journal of Banking & Finance, Vol. 59, p. 265.
Chichernea, Doina C. Ferguson, Michael F. and Kassa, Haimanot 2015. Idiosyncratic Risk, Investor Base, and Returns. Financial Management, Vol. 44, Issue. 2, p. 267.
Cotter, John Sullivan, Niall O' and Rossi, Francesco 2015. The conditional pricing of systematic and idiosyncratic risk in the UK equity market. International Review of Financial Analysis, Vol. 37, p. 184.
Ehsani, Sina and Lien, Donald 2015. Effects of Passive Intensity on Aggregate Price Dynamics. Financial Review, Vol. 50, Issue. 3, p. 363.
Fang, Kuangnan Wu, Ji and Nguyen, Cuong 2015. The Risk-Return Trade-Off in a Liberalized Emerging Stock Market: Evidence from Vietnam. Emerging Markets Finance and Trade, p. 1.
Han, Yufeng Hu, Ting and Lesmond, David A. 2015. Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World. Journal of Financial and Quantitative Analysis, Vol. 50, Issue. 06, p. 1269.
We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies. We find no evidence of upward trends after extending the sample to 2008. Instead, idiosyncratic volatility is well described by a stationary autoregressive process that occasionally switches into a higher-variance regime that has relatively short duration. We also document that idiosyncratic volatility is highly correlated across countries. Most of the time variation in idiosyncratic volatility can be attributed to variation in a growth opportunity proxy, total (U.S.) market volatility, and in most specifications, the variance premium, a business cycle sensitive risk indicator.
This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.
Email your librarian or administrator to recommend adding this journal to your organisation's collection.
Full text views reflects the number of PDF downloads, PDFs sent to Google Drive, Dropbox and Kindle and HTML full text views.
Abstract views reflect the number of visits to the article landing page.
* Views captured on Cambridge Core between September 2016 - 23rd May 2017. This data will be updated every 24 hours.