Return Reversals, Idiosyncratic Risk, and Expected Returns
By Wei Huang, Qianqiu Liu, S. Rhee, Liang Zhang. 2009
397 citations recorded by the source corpus.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/6b5f6b4001bd4219887eae62ca27989be805592f
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- Seshadri Tirunillai
- Gerard J. Tellis
- Ralitsa Petkova
- Venkatesh Shankar
- Guiyang Xiong
- Sundar G. Bharadwaj
- Abhishek Borah
- Andrew T. Stephen
In Finance
- Seshadri Tirunillai
- Gerard J. Tellis
- Zhanhui Chen
- Ralitsa Petkova
- Sundar G. Bharadwaj
- Avanidhar Subrahmanyam
- Alexander Kurov
- Venkatesh Shankar
Citations in the corpus
- Does Idiosyncratic Volatility Proxy for Risk Exposure (2012, background): “Fu (2009) and Huang et al. (2010) show that return reversals from stocks with high IV in the last month lead to AHXZ’s results.”
- Does Chatter Really Matter? Dynamics of User-Generated Content and Stock Performance (2012, background): “Prior studies across marketing and finance use similar measures of idiosyncratic abnormal returns and risk (e.g., Tuli and Bharadwaj 2009, Luo 2009, Fu 2009, Huang et al. 2010).”
- Charles A. Dice Center for Research in Financial Economics The Implied Cost of Capital: A New Approach (2010, neutral): “Fu (2009) and Huang et al. (2009) argue that once we control for the one-month return reversal effect, which is likely driven by microstructure biases, the negative idiosyncratic volatility-return relation is no longer significant.”
- Speculative Retail Trading and Asset Prices (2013, neutral): “However, consistent with the evidence in Huang et al. (2010), we find that IVOL loses its statistical significance.15 In contrast, the LOTT variables remain significantly negative even in the presence of a control for the short-term reversal effect.”
- Reference-Dependent Preferences and the Risk-Return Trade-Off (2017, neutral): “7 These alternative measures of risk can be viewed, and have been used, as proxies for information uncertainty in Zhang (2006) , idiosyncratic parameter uncertainty or information risk in Johnson (2004) , divergence of opinion in Diether, Malloy, and Scherbina (2002) , parameter uncertainty over the”