The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?
By Michael W. Brandt, Alon Brav, John R. Graham, Alok Kumar. 2010
472 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/d8f6a5d9c98db19ade343f114e6152ae5f104e3b
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In Economics and Econometrics
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- Changling Chen
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In Finance
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Citations in the corpus
- Political contributions and analyst behavior (2015, unknown): “Motivated by Brandt et al. (2010) and Han and Kumar (2013), we define RTP as the ratio of monthly dollar volume of retail trades and the total trading volume for a stock in a given month.”
- Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2014, unknown): “, Brandt et al. (2010)). Maintaining fixed IVOL break points in the portfolio sorting is therefore not feasible, as it results in highly unbalanced distributions of stocks in many periods, often producing portfolios with few or no stocks. Therefore, for each mispricing level, we instead set fixed pe”
- What Drove the Increase in Idiosyncratic Volatility during the Internet Boom? (2010, background): “For example, Brown and Kapadia (2007) show an increasing trend in new listings by riskier companies, while Cao, Simin, and Zhao (2008) find that there is no long-term trend in idiosyncratic risk after controlling for growth options.”
- Investor recognition and stock returns (2008, unknown): “Following Brandt et al. (2005) and Campbell et al. (2001), the monthly measures equal the sum of daily squared excess returns.”
- Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion (2012, methodology): “After controlling for AGE and SIZE, leverage is found to be negatively related to IRV in Brandt et al. (2010).”
- Portfolio selection with higher moments (2010, unknown): “…(2009), Mencia and Sentana (2009), Morton and Popova (2009), Wilcox and Fabozzi (2009), Zhou (2009), Bali and Cakici (2010), Blau and Pinegar (2009), Brandt et al. (2010), Conrad et al. (2010), Fabozzi et al. (2010), Martin (2010), Poti (2010), Jondeau and Rockinger (2006), Vorkink et al. (2009).…”
- Firm Volatility in Granular Networks (2013, unknown): “…that differences in leverage drive heterogeneity in firm volatility, Comin and Philippon (2006) who argue for industry competition and R&D intensity, Davis et al. (2007) who emphasize age effects, and Brandt et al. (2010) who argue that institutional ownership is a key driver of volatility.”