Have individual stocks become more volatile : an empirical exploration of idiosyncratic risk

By Αικατερίνη Ανδρεοπούλου. 2010

288 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f13226b119f539b57d9a4fcd529edf829376471c

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Citations in the corpus

When Does Idiosyncratic Risk Really Matter (2009, unknown): “Recent evidence provided by Malkiel and Xu (2002), Fu (2009), and Cao and Xu (2009) suggests that idiosyncratic risks are positively related to cross-sectional portfolio or individual stock returns.”
Why Have Measures of Earnings Quality Changed Over Time (2014, background): “This development increases firms' idiosyncratic stock-return volatilities and lowers firms' survival rates (Campbell et al., 2001; Fama and French, 2004).”
Financial reporting quality and idiosyncratic return volatility (2011, background): “1 Stock return volatility Campbell et al. (2001) find that the volatility of the stock market has remained relatively constant over the period 1962 to 1997. However, idiosyncratic volatility has increased substantially over this time period to a point where idiosyncratic volatility is the largest co”
Return Reversals, Idiosyncratic Risk, and Expected Returns (2009, unknown): “2 The inconsistent findings warrant further examination given the rising difficulty in achieving portfolio diversification due to the ever increasing firm-level volatility (Campbell et al. 2001), and the important role of idiosyncratic risk relative to liquidity risk in explaining cross-sectional st”
Really Uncertain Business Cycles (2012, unknown): “To address this concern in column (7) we examine cross-sectional spread of stock-returns - which reflects the volatility of news about firm performance - and find that this is again counter-cyclical, echoing the prior results in Campbell et al (2001).”
Does monetary policy affect bank risk (2014, methodology): “…has been supplemented with other measures of bank risk derived from stock market information: (i) a simple capital asset pricing model (CAPM) and (ii) the Campbell et al. (2001) approach that decomposes stock market volatility into total market, banking sector, and individual bank-level volatility.”