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479
Idiosyncratic Return Volatility, Economic Activity, and Managerial Discretion
"... We find that the upward trend in idiosyncratic return volatility from 1978 to 2000 and the reversal of the trend since 2000 in the U.S. markets are jointly determined by (1) cash flow volatility that is based on economic fundamentals and (2) accrual volatility and the correlation between cash flow a ..."
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We find that the upward trend in idiosyncratic return volatility from 1978 to 2000 and the reversal of the trend since 2000 in the U.S. markets are jointly determined by (1) cash flow volatility that is based on economic fundamentals and (2) accrual volatility and the correlation between cash flow
Does More Information in Stock Price Lead to Greater or Smaller Idiosyncratic Return Volatility?” working paper
, 2006
"... We investigate the relation between price informativeness and idiosyncratic return volatility in a multiasset, multiperiod noisy rational expectations equilibrium. Idiosyncratic return volatility is decomposed into two parts: (1) the part caused by noise, and (2) the part caused by information reg ..."
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Cited by 7 (0 self)
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We investigate the relation between price informativeness and idiosyncratic return volatility in a multiasset, multiperiod noisy rational expectations equilibrium. Idiosyncratic return volatility is decomposed into two parts: (1) the part caused by noise, and (2) the part caused by information
Idiosyncratic risk and security returns
, 2002
"... The traditional CAPM approach argues that only market risk should be incorporated into asset prices and command a risk premium. This result may not hold, however, if some investors can not hold the market portfolio. For example, if one group of investors fails to hold the market portfolio for exogen ..."
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Cited by 14 (0 self)
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as to draw testable implications. Under both the Fama and MacBeth (1973) and Fama and French (1992) testing frameworks, we find that idiosyncratic volatility is useful in explaining crosssectional expected returns. We also discover that returns from constructed portfolios directly covary with idiosyncratic
Idiosyncratic risk matters
 Journal of Finance
, 2003
"... This paper takes a new look at the tradeoff between risk and return in the stock market. We find a significant positive relation between average stock variance and the return on the market. There is, therefore, a tradeoff between risk and return in the stock market, except that risk is measured as t ..."
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Cited by 108 (6 self)
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as total risk, including idiosyncratic risk, rather than only systematic risk. Further, we find that the variance of the market by itself has no forecasting power for the market return. These relations persist after we control for macroeconomic variables known to forecast the stock market. We show
Forecasting bankruptcy more accurately: a simple hazard model
 0 otherwise P (Yit = 1) = FLOGIT (z 0 (i;t) ) with Yit = 1 , Y it < 0 where Y it = c + Z 0 (i;t) + " (i;t) and the
, 2001
"... I argue that hazard models are more appropriate for forecasting bankruptcy than the singleperiod models used previously. Singleperiod bankruptcy models give biased and inconsistent probability estimates while hazard models produce consistent estimates. I describe a simple technique for estimating ..."
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Cited by 358 (1 self)
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to bankruptcy probability, including market size, past stock returns, and the idiosyncratic standard deviation of stock returns. I propose a model that uses a combination of accounting ratios and marketdriven variables to produce more accurate outofsample forecasts than alternative models.
Stochastic Idiosyncratic Operating Risk and Real Options: Implications for Stock Returns
, 2013
"... We combine real options and stochastic idiosyncratic operating risk in a simple equity valuation model of firms to capture the crosssectional variation of stock returns associated with idiosyncratic return volatility. Our model is able to simultaneously explain two main disparate empirical anomalie ..."
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We combine real options and stochastic idiosyncratic operating risk in a simple equity valuation model of firms to capture the crosssectional variation of stock returns associated with idiosyncratic return volatility. Our model is able to simultaneously explain two main disparate empirical
Return reversals, idiosyncratic risk, and expected returns
 Review of Financial Studies
, 2010
"... Bali and Cakici (2006) find no relation between equallyweighted portfolio returns and idiosyncratic risk, whereas Ang et al. (2006a) report a negative relation between valueweighted portfolio returns and idiosyncratic risk. Our analyses demonstrate that both findings can be explained by shortterm ..."
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Cited by 28 (3 self)
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Bali and Cakici (2006) find no relation between equallyweighted portfolio returns and idiosyncratic risk, whereas Ang et al. (2006a) report a negative relation between valueweighted portfolio returns and idiosyncratic risk. Our analyses demonstrate that both findings can be explained by short
IRES Working Paper Series Idiosyncratic Risk and REIT Returns Idiosyncratic Risk and REIT Returns Idiosyncratic Risk and REIT Returns Idiosyncratic Risk and REIT Returns
"... Abstract The volatility of a stock returns can be decomposed into market and firmspecific volatility, with the former commonly known as systematic risk and the later as idiosyncratic risk. This study examines the relevance of idiosyncratic risk in explaining the monthly crosssectional returns of ..."
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Abstract The volatility of a stock returns can be decomposed into market and firmspecific volatility, with the former commonly known as systematic risk and the later as idiosyncratic risk. This study examines the relevance of idiosyncratic risk in explaining the monthly crosssectional returns
Idiosyncratic Risk, Investor Base, and Returns
"... Using four different proxies for a firm’s investor base we demonstrate that idiosyncratic risk premiums are larger for neglected stocks and smaller or economically insignificant for visible stocks. Since neglected stocks have greater idiosyncratic volatility (IV), the total IV risk premium (price × ..."
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is an important component of the influence of IV in the crosssection of returns. The role of idiosyncratic volatility (IV) in the crosssection of returns has generated a rapidly growing empirical literature. Standard asset pricing models, such as the Capital Asset Pricing Model (CAPM), predict that perfectly
MONEY WITH IDIOSYNCRATIC UNINSURABLE RETURNS TO CAPITAL
, 2000
"... helpful discussions and to three anonymous referees for helpful comments. Also, I am indebted to the ..."
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Cited by 2 (0 self)
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helpful discussions and to three anonymous referees for helpful comments. Also, I am indebted to the
Results 1  10
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479