Idiosyncratic Risk Matters

By Amit Goyal, Pedro Santa-clara. 2003

1,147 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/98df0dfcf383cab0b728d6744955e2b440c77e85

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. Turan G. Bali
2. Xueming Luo
3. Lu Zhang
4. Nusret Cakici
5. Wei Huang
6. Andrew Ang
7. Sundar G. Bharadwaj
8. Kapil R. Tuli

In Finance

1. Turan G. Bali
2. Xueming Luo
3. Lu Zhang
4. Ralitsa Petkova
5. Sundar G. Bharadwaj
6. Yuhang Xing
7. Kapil R. Tuli
8. Andrew Ang

Citations in the corpus

• Social Media and Firm Equity Value (2013, background): “Idiosyncratic risk captures 80% of the firm’s total risk and can be measured as the standard deviation of the residuals of the extended Fama-French model (Goyal and Santa-Clara 2003, p. 980): where R it = returns for firm i on time Risk is the standard deviation of the model residuals.”
• The Economic Implications of Corporate Financial Reporting (2005, neutral): “For example, Trahan and Gitman (1995) report a response rate of 12% in a survey mailed to 700 CFOs, while Graham and Harvey (2001) obtain a 9% response rate for 4,400 faxed surveys.”
• Corporate Governance, Idiosyncratic Risk, and Information Flow (2007, neutral): “Several papers consider a relation between idiosyncratic volatility and expected returns (e.g., Goyal and Santa-Clara (2003)).”
• Disagreement and Return Predictability of Stock Portfolios (2011, neutral): “Panel G repeats the regression in Panel A of Table 3, controlling for the idiosyncratic risk in Goyal and Santa-Clara (2003). Panels H1 and H2 repeat Panels C1 and C2 of Table 6 except that the disagreement portfolio is sorted conditioning on the idiosyncratic volatility in Ang, Hodrick, Xing, and Z”
• Internal Control Weakness and Cost of Equity: Evidence from SOX Section 404 Disclosures (2007, background): “While beta is a determinant of expected returns under CAPM, there is empirical evidence suggesting that idiosyncratic volatility is also priced by the stock market (Goyal and Santa-Clara 2003).”
• Does Idiosyncratic Volatility Proxy for Risk Exposure (2012, methodology): “For these stocks, we follow Goyal and Santa-Clara (2003) and use only the first term in the calculation.”
• Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns (2006, positive): “Similar to Goyal and Santa-Clara (2003), we exclude stocks that have <15 re”
• Does Information Risk Really Matter? An Analysis of the Determinants and Economic Consequences of Financial Reporting Quality (2008, methodology): “24 Guay et al. [2003] and provide evidence that the four proxies are highly and significantly correlated (Table 2, Panel D).”
• Time-Varying Liquidity Risk and the Cross Section of Stock Returns (2008, neutral): “Since Amihud’s (2002) price impact measure is given by the ratio of absolute return to volume, another concern is that CLIQ may simply proxy for idiosyncratic volatility and/or trading volume, which are shown to predict returns or explain the cross-sectional variation in returns [see, among others, ”