Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World

By Yufeng Han, Ting Hu, David A. Lesmond. Journal of Financial and Quantitative Analysis, 2015

144 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c731f4a11fe2dfea3e5219841dfb7d9d9ed41d62

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Denefa Bostandzic
2. Guofu Zhou
3. Ke Yang
4. Yufeng Han
5. Gregor N. F. Weiß

In Economics and Econometrics

1. Yufeng Han
2. Denefa Bostandzic
3. Guofu Zhou
4. Ke Yang
5. Gregor N. F. Weiß
6. David E. Rapach

In Finance

1. Guofu Zhou
2. Yufeng Han
3. Ke Yang
4. Denefa Bostandzic
5. Gregor N. F. Weiß
6. Peter A. Forsyth
7. David E. Rapach
8. Gustavo Peralta

Citations in the corpus

• Why do some banks contribute more to global systemic risk? (2018, background): “(2012) while quarterly estimates are studied by Hovakimian et al. (2012). 16 Conversely, Acharya et al.”
• A New Anomaly: The Cross-Sectional Profitability of Technical Analysis (2013, background): “…is on the ”right” 6Ang, Hodrick, Xing, and Zhang (2006) document a negative relation between lagged idiosyncratic volatility and future returns, while Han and Lesmond (2011) argue that the negative relation is due to liquidity bias in the estimation of idiosyncratic volatility, and Huang, Liu,…”