Investigating the Behavior of Idiosyncratic Volatility

By Yexiao Xu, B. Malkiel. 2003

497 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/323f9b016e543da1e54139ed5c1a886195a60a3c

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Citations in the corpus

Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion (2012, background): “…set (Guo and Savickas (2008)), availability of growth options (Cao et al. (2008)), institutional ownership (Bennett, Sias, and Starks (2003), Xu and Malkiel (2003)), and changing sample composition with newly listed firms becoming riskier (Brown and Kapadia (2007)) and younger (Fink et al.…”
What Drove the Increase in Idiosyncratic Volatility during the Internet Boom? (2010, background): “3 Pastor and Veronesi (2006) suggest a rational response to an increase in uncertainty about future profitability. On the other hand, Brandt, Brav, Graham and Kumar (2008) argue that this spike in idiosyncratic risk was driven by irrational “noise” traders and show that volatility during the interne”
Aggregate Idiosyncratic Volatility (2012, background): “Ang, Hodrick, Xing and Zhang (2006) argue that the conditional variance of the market should be a priced crosssectional risk factor.”
Stock market liberalization and the information environment (2006, background): “Indeed, Xu and Malkiel (2003) find that firm-specific volatility typically increases with the proportion of a firm that is owned by institutional investors, suggesting that firm-specific volatility is associated with the scrutiny and trading of professional investors.”
R2 and Idiosyncratic Risk are not Interchangeable (2014, background): “Xu and Malkiel (2003) document higher ﬁrm-speciﬁc return volatility in stocks with large institutional ownership, and they argue that this reﬂects noise trading by institutions.”
Foreign Institutional Ownership and Stock Market Liquidity: Evidence from Indonesia (2009, unknown): “…2004; Bushee and Goodman, 2007), and large institutional ownership increases the degree of information asymmetry (e.g. Dennis and Weston, 2001; Agarwal, 2007; Rubin, 2007; Brockman and Yan, 2009) and return volatility (e.g. Sias, 1996; Xu and Malkiel, 2003; Gabaix et al., 2006; Wang, 2007).”
The effect of price tests on trader behavior and market quality: An analysis of Reg SHO ☆ (2008, methodology): “34 Following Xu and Malkiel (2003), we also compared the squared residuals from regressions of daily returns using the Fama-French three-factor model and CAPM for April with those for May in order to examine firm-specific risks.”
Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition (2009, background): “, the causal link between institutional ownership and idiosyncratic volatility runs in the opposite direction to that put forth by Malkiel and Xu (2003) and Dennis and Strickland (2004).”
Idiosyncratic Volatility and the Cross Section of Expected Returns (2008, unknown): “Following Campbell, Lettau, Malkiel, and Xu (2001), Xu and Malkiel (2003), and AHXZ (2006), we use the within-month daily return data in equations (2) and (3) to estimate the monthly idiosyncratic volatility for each stock.”