Aggregate Idiosyncratic Volatility

By Geert Bekaert, R. Hodrick, Xiaoyan Zhang. Journal of Financial and Quantitative Analysis, 2012

208 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/06de5fe48c94287da35ebb4658a46a21ec26e592

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Citations in the corpus

Jumps and Information Flow in Financial Markets (2012, background): “Another related study is on aggregate idiosyncratic variance by Bekaert, Hodrick, and Zhang (2010).”
The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications (2014, background): “Bekaert, Hodrick, and Zhang (2012) find comovement in average idiosyncratic volatility across countries.”
Really Uncertain Business Cycles (2012, unknown): “The variance of these shocks in fact reached an all time high in the recession of 2008-2009.”
Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World (2015, unknown): “Third, Bekaert, Hodrick, and Zhang (2012) show that growth opportunities, total market volatility, and the variance premium can explain the bulk of the variation in idiosyncratic volatility in international markets.”
Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion (2012, background): “…business uncertainty (Wei and Zhang (2006), Irvine and Pontiff (2009)), growth options (Cao, Simin, and Zhao (2008)), business-cycle variations (Bekaert, Hodrick, and Zhang (2012)), and new firm and industry effects (Brown and Kapadia (2007), Fink et al. (2010)), and for various subperiods…”
Does Idiosyncratic Volatility Proxy for Risk Exposure (2012, methodology): “For example, Bekaert et al. (2009) show that countercyclical changes in the variance of consumption growth drive the countercyclical volatility of aggregate returns.”