R2 and Idiosyncratic Risk are not Interchangeable

By Bin Li, Shivaram Rajgopal, Mohan Venkatachalam. 2014

149 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/56abd52ccf1af35eab6a42b2f8ff8ae824a37873

Citations in the corpus

• Is There a Dark Side to Exchange Traded Funds? An Information Perspective (2017, unknown): “Since Li et al. (2014) show that synchronicity is often confounded with systematic risk, we include CAPM beta as a control for systematic risk.”
• Political uncertainty and firms' information environment: Evidence from China (2018, unknown): “6 Li et al. (2014), among others, suggest that the R2 and idiosyncratic volatility measures may contain noises and recommend using additional measures to triangulate results.”