Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition

By Paul J. Irvine, Jeffrey Pontiff. 2009

651 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/886b61bf96f808b9ce89c1ffa127ded61017bd70

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Citations in the corpus

Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World (2015, neutral): “…and financial market innovation, Brown and Kapadia (2007) claim that the increase in idiosyncratic risk is related to more volatile firms being listed through initial public offerings, whereas Irvine and Pontiff (2009) argue that idiosyncratic volatility and a firm’s cash volatility are related.”
Changes Over Time in the Revenue-Expense Relation: Accounting or Economics? (2011, background): “5 The weight for any componenti equals Cov(Exp, componenti) / Var(Exp), where Exp is total current expense (see Kee (2009) for a proof).”
Why Has the Value of Cash Increased Over Time? (2018, neutral): “In an untabulated test, we alternatively estimate the effect of competition with the Irvine and Pontiff (2009) measure of industry turnover in a model otherwise identical to model 6.”
Why Are U.S. Stocks More Volatile (2012, neutral): “4 See Irvine and Pontiff (2009) and Comin and Philippon (2005) for papers that explain the increase in idiosyncratic risk by the increasing importance of R&D for American firms. originate and such revolutions are associated with higher idiosyncratic volatility in their initial stages (Pastor and Ver”
The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes? (2010, neutral): “12 Kumar (2009) finds that retail investors significantly overweight low-priced stocks in their portfolios, relative to expected stock holdings if investors were to randomly choose portfolios according to market capitalization weights.”
Redacting Proprietary Information at the Initial Public Offering (2015, background): “…and dummy variables to indicate Nasdaq firms, S&P 500 firms, dividend-paying firms, and firms that are a spinoff of another company (see Bekaert, Hodrick and Zhang, 2012, Dennis and Strickland, 2009, Gaspar and Massa, 2006, and Irvine and Pontiff, 2008 for justifications for the control variables).”
Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion (2012, background): “Irvine and Pontiff (2009) show that the increasing trend in idiosyncratic return volatility in their sample period is related to increased cash flow volatility.”
Product market competition and corporate investment: Evidence from China (2015, background): “Recently, however, the empirical research is converging on the view that competition and investment are negatively related (notably, Mello and Wang (2012) and Frésard and Valta (2013)).”
The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications (2014, background): “Section 3 provides evidence linking our return-based (9)Several papers explore this fact in more detail, such as Bennett, Sias, and Starks (2003), Irvine and Pontiff (2009), and Brandt, Brav, Graham, and Kumar (2010).”
Competition and the Cost of Debt (2012, neutral): “This conjecture is consistent with recent theory and empirical evidence that show that competition increases idiosyncratic stock and cash flow volatility (Raith, 2003; Gaspar and Massa, 2006; Irvine and Pontiff, 2009).”