The Information Content of Idiosyncratic Volatility

By George J. Jiang, Daniel Yi Xu, Tong Yao. Journal of Financial and Quantitative Analysis, 2009

281 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/3d582cdc566339cf7ed7d1226eeb4a93884331cb

How researchers see this paper

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

In Accounting

1. Weibiao Xu
2. Massimo Massa
3. Wenlan Qian
4. H. Zhang

In Finance

1. Weibiao Xu
2. Massimo Massa
3. Wenlan Qian
4. H. Zhang

Citations in the corpus

• Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2014, unknown): “Jiang, Xu, and Yao (2009) argue that high IVOL is associated with firms that disclose less and that the market does not correctly assess the negative valuation implication associated with selective low disclosure.”
• Charles A. Dice Center for Research in Financial Economics The Implied Cost of Capital: A New Approach (2010, unknown): “We also consider the maximum daily return (Maxret) and the retail trading proportion (RTP) of a stock, which are proposed by Bali et al. (2011) and Han and Kumar (2013), respectively, as indicators for stocks that are preferred by lottery-seeking retail investors.”
• Idiosyncratic Risk and the Cross-Section of Expected Stock Returns (2009, unknown): “Jiang, Xu, and Yao (2006) argue that high idiosyncratic volatility and low future returns are both related to a lack of information disclosure among firms with poor earnings prospects.”
• On the Predictability of Chinese Stock Returns (2010, unknown): “Jiang, Yao, and Xu (2006) link both anomalies to adverse selection in corporate disclosure and investor underreaction.”
• Competition of the Informed: Does the Presence of Short Sellers Affect Insider Selling? (2015, methodology): “Idiosyncratic volatility is calculated as the monthly average of the standard deviation of residuals from the adjusted Fama-French daily regressions (Jiang, Xu, and Yao, 2009).”
• Social Transmission Bias and Investor Behavior (2021, unknown): “This apparent overpricing is stronger for firms held or traded more heavily by retail investors (Jiang, Xu, and Yao (2009), Han and Kumar (2013)), for whom we would expect conversational biases to be strong.”
• High idiosyncratic volatility and low returns: International and further U.S. evidence (2008, unknown): “The low returns of stocks with past high idiosyncratic volatility cannot be explained by the leverage interaction story of Johnson (2004) or by future exposure to idiosyncratic volatility.”