Idiosyncratic Risk and the Cross-Section of Expected Stock Returns

By Fangjian Fu. 2009

1,076 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b2516543bdbaee9fa75319e39a1c5ad7b5467a74

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Citations in the corpus

The Information Content of Idiosyncratic Volatility (2009, neutral): “Second, in a related study, Fu (2009) reports that expected IVOL, estimated using the EGARCH model, is positively correlated with stock returns.”
Fossil Fuel Divestment and Portfolio Performance (2018, background): “Still, portfolio diversification is not only constrained because of social norms but because of practical or behavioral reasons as well, suggesting there could be a compensation for idiosyncratic risks next to systematic risks (Fu, 2009; Goyal and Santa-Clara, 2003).”
Independent Director Reputation Incentives and Stock Price Informativeness (2017, background): “There is documented evidence of the relationship between idiosyncratic volatility and equity returns (e.g. Ang, Hodrick, Xing, and Zhang, 2006; Fu, 2009).”
... and the Cross-Section of Expected Returns (2013, neutral): “1 We also provide a link to a file with full references and Web addresses to the original articles: http://faculty.fuqua. duke.edu/∼charvey/Factor-List.xlsx. 2 Other recent papers that systematically study the cross-sectional return patterns include those by Subrahmanyam (2010) and Green, Hand, and ”
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.”
Does Idiosyncratic Volatility Proxy for Risk Exposure (2012, methodology): “The factor betas, which are the independent variables in the regressions, are computed either over the full sample (full-sample betas) or in 60-month rolling regressions (rolling betas). Columns (1) and (3) present results for the Fama-French model augmented with innovations in average variance ( AV”
Corporate Financial Distress: An Empirical Analysis of Distress Risk (2007, background): “While Goyal and Santa-Clara (2003), Chua, Goa, and Zhang (2006), Jiang and Lee (2006), Fu (2007) report a statistically significant positive effect of idiosyncratic volatil-”
Corporate Environmental Responsibility and Firm Risk (2015, background): “An increasing number of recent studies provides evidence against classic asset pricing theory and suggests that idiosyncratic risk matters (e.g., Goyal and Santa-Clara 2003; Fu 2009).”
Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios? (2015, background): “Several papers in the literature have argued that there is a relation between stock returns and idiosyncratic volatility; see Fu (2009) for a discussion of this literature.”
Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns (2014, neutral): “However, as previously showed in the literature, the idiosyncratic volatility puzzle is primarily driven by small firms (Fu, 2009), firms that are dominated by retail investors (Han and Kumar, 2013), and lottery-like firms (Bali, Cakici, and Whitelaw, 2011).”
Risk and CEO turnover (2010, background): “For example, Fu (2009) shows a cross-sectional Pearson correlation between beta and idiosyncratic volatility of 0.”