High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

By C. Patel. 2009

302 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6fe437d2831430462c2cc084ca4c76552a3f97f5

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. Benjamin Kian Guan. Toh
2. Daniel Yi Xu
3. Tong Yao
4. George J. Jiang
5. W. Fong
6. Jacopo Ponticelli
7. Vivek Bhattacharya
8. Julien Chevallier

In Finance

1. Benjamin Kian Guan. Toh
2. Daniel Yi Xu
3. Tong Yao
4. George J. Jiang
5. W. Fong
6. Vivek Bhattacharya
7. Julien Chevallier

Citations in the corpus

• Investor sentiment and the MAX effect (2014, methodology): “In addition to the above regressors, we include standard risk control variables in the form of factor exposures for market excess returns (MKT), the SMB factor, the HML factor, and the UMD factor, estimated contemporaneously following the approach suggested by Shanken (1992) and implemented by Ang e”
• The Information Content of Idiosyncratic Volatility (2009, methodology): “This suggests that the IVOL anomaly documented in Ang et al. (2006a) is distinct from classical asset pricing anomalies in the literature.”