Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk

By Matthew I. Spiegel, Xiaotong Wang. 2005

332 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ce61bb021fabe99276ed42b0e6a87df51dfa1d44

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Citations in the corpus

Understanding Commonality in Liquidity Around the World (2011, background): “Spiegel and Wang (2005) investigate the link between the idiosyncratic volatility and Amihud liquidity (as well as other liquidity measures) for individual stocks.”
Stock Price Synchronicity and Liquidity (2013, unknown): “Spiegel and Wang (2005) also show that idiosyncratic risk and liquidity are negatively correlated. liquidity cost by concentrating their trades in these stocks, resulting in a further improvement of liquidity.”
The diminishing liquidity premium (2015, background): “Spiegel and Wang (2005) find that much of the pricing effect of illiquidity is subsumed by the effect of idiosyncratic risk.”
Can Growth Options Explain the Trend in Idiosyncratic Risk (2008, background): “For example, Spiegel and Wang (2006) show how a conditional measure of idiosyncratic risk, based on the Fama‐French three-factor model, dominates liquidity in explaining cross-sectional stock returns.4 For these reasons we calculate aggregate idiosyncratic volatility”
Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition (2011, background): “Finally, our analysis has implications for the positive relationship between expected returns and idiosyncratic return volatility found in some empirical studies (e.g.,Spiegel and Wang 2005; Ang et al. 2006).”
Theory-Based Illiquidity and Asset Pricing (2009, unknown): “Spiegel and Wang (2005) do not find a significant relation between expected returns and a variety of empiricallymotivated illiquidity proxies, which also appears to muddy the conclusions on whether illiquidity is related to asset returns.”
Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World (2015, unknown): “Spiegel and Wang (2005) clearly articulate this point when they argue that although idiosyncratic volatility and liquidity are related, the relation between idiosyncratic volatility and future returns is stronger14 than is the relation between liquidity and future returns.”
Cross-Section of Option Returns and Idiosyncratic Stock Volatility (2013, unknown): “(See Spiegel and Wang, 2007 for an overview of why one expects idiosyncratic risk to be inversely related to a stock’s liquidity.)”
Volatility Spreads and Expected Stock Returns (2009, unknown): “, Kawaller, Koch, and Koch (1987), Stoll and Whaley (1990), and Chan, Chan, and Karolyi (1991)).”
Idiosyncratic Volatility and the Cross Section of Expected Returns (2008, unknown): “…(2003) find that idiosyncratic risk is priced in the private equity and venture capital markets even if investors can fully diversify. data, Spiegel and Wang (2005) focus on the out-of-sample predictive power of idiosyncratic volatility and liquidity, and find that expected stock returns…”
Gambling Preference and the New Year Effect of Assets with Lottery Features (2012, methodology): “Following Fu (2008) and Spiegel and Wang (2006), we apply the EGARCH model (Nelson 1991) to compute the expected idiosyncratic volatility.”
High idiosyncratic volatility and low returns: International and further U.S. evidence (2008, unknown): “Indeed, Fu (2005) and Spiegel and Wang (2005) find a positive relation between conditional idiosyncratic volatility estimated using monthly frequency data and expected returns.”
Reference-Dependent Preferences and the Risk-Return Trade-Off (2017, unknown): “At each week t , the reference price for each stock is defined as: RP t = 1 k T ∑ n =1 ( V t−n n −1 ∏ τ=1 ( 1 − V t−n + τ ) ) P t−n , (1) 4 Ang, Hodrick, Xing, and Zhang (2006 , 2009) , for example, find a negative relation between idiosyncratic volatility and expected returns, whereas Bali and Caki”
Return Reversals, Idiosyncratic Risk, and Expected Returns (2009, unknown): “However, Spiegel and Wang (2006) show that the explanatory power of liquidity is weakened once idiosyncratic volatility is included in the regression.”
Private Equity Performance and Liquidity Risk (2012, unknown): “Spiegel and Wang (2005) and Bandi, Moise, and Russel (2008) argue that the effects on returns of aggregate liquidity and aggregate volatility are closely (negatively) related.”