Does Idiosyncratic Risk Really Matter

By Turan G. Bali, Nusret Cakici, Xuemin Yan, Zhe Zhang. 2005

288 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/173fd5b5676305efdebe8723bd1b39f5e30a4c8a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Wei Huang
2. Cheol S. Eun
3. Xiaoyan Zhang
4. Yuhang Xing
5. Andrew Ang
6. R. Hodrick
7. Gustavo Grullon
8. J. Weston

In Finance

1. Wei Huang
2. Cheol S. Eun
3. Xiaoyan Zhang
4. Yuhang Xing
5. Gustavo Grullon
6. Andrew Ang
7. R. Hodrick
8. J. Weston

Citations in the corpus

• High idiosyncratic volatility and low returns: International and further U.S. evidence (2008, unknown): “Our results are related to a literature that investigates if idiosyncratic volatility can predict future aggregate market returns (see, for example, Goyal and Santa-Clara, 2003; Bali et al., 2005; Wei and Zhang, 2005; Guo and Savickas, 2007).”
• What Drove the Increase in Idiosyncratic Volatility during the Internet Boom? (2010, background): “For example, Brown and Kapadia (2007) show an increasing trend in new listings by riskier companies, while Cao, Simin, and Zhao (2008) find that there is no long-term trend in idiosyncratic risk after controlling for growth options.”
• The Cross-Section of Volatility and Expected Returns (2006, background): “Brown and Ferreira (2003) and Goyal and SantaClara (2003) argue that idiosyncratic volatility has positive predictive power for excess market returns, but this is disputed by Bali et al. (2004).”
• Idiosyncratic Volatility and Product Market Competition (2004, unknown): “Consistent with this idea, there is evidence that idiosyncratic volatility is priced and drives stock market forecastability (Malkiel and Xu, 2001; Goyal and Santa-Clara, 2002), although these effects seem mostly associated with small firms (Bali et al., 2003; Brown and Ferreira, 2003).”
• Accruals Quality, Stock Returns, and Macroeconomic Conditions (2010, unknown): “The exclusion of low-priced stock is not unusual in asset pricing tests (Jegadeesh and Titman 2001; Bali et al. 2005; Chan et al. 2006).”
• Return Reversals, Idiosyncratic Risk, and Expected Returns (2009, unknown): “2 Goyal and Santa-Clara (2003) and Jiang and Lee (2006) report a significant positive relation between idiosyncratic risk and expected monthly stock market returns, while Bali et al. (2005) find that the positive relation documented by Goyal and Santa-Clara (2003) is not robust.”
• Asset Pricing in China's Domestic Stock Markets: Is There a Logic? (2007, background): “However, Wei and Zhang (2004) and Bali et al. (2005) find that the positive relationship reported by Goyal and Santa-Clara (2003) is not reliable or robust.”
• Price Momentum and Idiosyncratic Volatility (2008, unknown): “Bali, Cakici, Yan and Zhang (2005) show that the findings of Goyal and Santa-Clara (2003) are not robust to the use of a value-weighted measure of average stock volatility, the use of average IVol instead of average total stock volatility, consideration of stock liquidity and extension of the…”