Idiosyncratic Risk and Security Returns
By Yexiao Xu, B. Malkiel. 2004
112 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/a47a357f434447c48ee30acc914e73088d69c32f
Citations in the corpus
- Corporate Sustainability Performance and Idiosyncratic Risk: A Global Perspective (2009, unknown): “financial markets for which conventional models are not able to account (Campbell, Lettau, Malkiel, and Xu, 2001 ).”
- What Determines Chinese Stock Returns? (2004, unknown): “As argued in Malkiel and Xu (2001), such practice is inconsistent with the tradition of asset pricing framework.”
- Ambiguity, Information Quality and Asset Pricing (2008, unknown): “Recent literature has documented a link between idiosyncratic risk and excess returns in the cross section (for example, Lehmann [29] and Malkiel and Xu [30]).”
- What Drove the Increase in Idiosyncratic Volatility during the Internet Boom? (2010, unknown): “For example, we note that Bali, Cakici, Yan, and Zhang (2005) and Malkiel and Xu (2002) employ different methods and find essentially the same time-series patterns as in CLMX.”
- Equilibrium Underdiversification and the Preference for Skewness (2007, unknown): “In contrast to Malkiel and Xu (2002), who model some agents as being constrained to hold an underdiversified portfolio of securities, some investing agents may be constrained in the opposite direction: to hold a diversified portfolio with very small exposure to positive skewness.”
- Is Size Dead? A Review of the Size Effect in Equity Returns (2011, unknown): “Interestingly, this argument is closely related to the investor recognition hypothesis developed by Merton (1987). Reinganum (1981) analyzes the size effect in a shorter, but broader sample of 566 NYSE and AMEX firms over the period 1975-1977.”
- Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns (2006, unknown): “First, it is priced be cause many investors hold poorly diversified portfolios (e.g., Levy 1978; Malkiel and Xu 2001).”