Why Did Individual Stocks Become More Volatile

By S. Wei, Chu Zhang. 2003

380 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/121c86bbbebc07ac9a5983145da28c49c3180164

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Citations in the corpus

Opaque financial reports, R2, and crash risk (2009, background): “Wie and Zhang (2006) relate the secular decline in average R2 between 1976 and 2000 to changes in the level and volatility of firm-specific information, particularly return on equity.”
The international zero-leverage phenomenon (2013, neutral): “And second, there is a general trend of increasing asset return volatility over time (Campbell, et al., 2010; Wei and Zhang, 2006); thus the vintage effect seems strongly related to this change in asset risk.”
ESG Shareholder Engagement and Downside Risk (2018, background): “We also control for profitability, which is related to firm risk as it reflects information about future cash flow streams which, in turn, drive returns (Wei and Zhang, 2006; Vuolteenaho, 2002).”
Creative destruction and firm-specific performance heterogeneity (2007, background): “This across-the-board upsurge in the firm-specific performance variation measures seconds the conclusion of Wei and Zhang (2006) – any explanation of rising firm-specific variation in stock returns must also permit a contemporaneous rise in firm-specific fundamentals variation.”
The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications (2014, methodology): “Panel E reports bivariate sorts based on CIV beta and stock-level idiosyncratic variance, providing a comparison to the idiosyncratic volatility puzzle of Ang, Hodrick, Xing, and Zhang (2006).”
Corporate Governance, Idiosyncratic Risk, and Information Flow (2007, positive): “To avoid spurious correlations, such as the possibility that larger firms might be less volatile and have more antitakeover measures, our study controls for a large set of volatility covariates suggested in the literature (see, e.g., Wei and Zhang (2006)).”
Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets (2011, background): “We also follow Wei and Zhang (2006) to include 2 other important determinants of volatility, that is, leverage and lagged volatility.”
The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes? (2010, neutral): “Recent research proposes that a link between idiosyncratic volatility and firm fundamentals could explain the late 1990s idiosyncratic volatility trend, arguing that fundamentals had become more volatile (Wei and Zhang 2006) or more opaque (Rajgopal and Venkatachalam 2006).”
Aggregate Idiosyncratic Volatility (2012, background): “Building on theoretical work by Pastor and Veronesi (2003), Wei and Zhang (2006) argue that the upward trend in average stock return volatility is fully accounted for by a downward trend in the return on equity, indicating poorer earnings quality, and an upward trend in the volatility of the return…”
Can Growth Options Explain the Trend in Idiosyncratic Risk (2008, methodology): “…table clearly support the connection between growth options and idiosyncratic volatility suggested by the Galai and Masulis model, the interactive regression specification is not easily comparable to alternative explanations such as the profitability hypothesis explored by Wei and Zhang (2006).”