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Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk. (2006). Spiegel, Matthew ; Wang, Xiaotong .
In: Yale School of Management Working Papers.
RePEc:ysm:somwrk:amz2540.

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Cited: 16

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  1. Earnings information, arbitrage constraints, and the forecast dispersion anomaly. (2020). Na, Haejung ; Kim, Soonho.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319301898.

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  2. Does idiosyncratic volatility matter? — Evidence from Chinese stock market. (2019). Liu, Shengnan ; Guo, Wenjing ; Kong, AO.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:516:y:2019:i:c:p:393-401.

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  3. Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns. (2016). Han, Bing ; Cao, Jie.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:73:y:2016:i:c:p:1-15.

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  4. Stochastic Idiosyncratic Operating Risk and Real Options: Implications for Stock Returns. (2015). Bhamra, Harjoat ; Shim, Kyung .
    In: 2015 Meeting Papers.
    RePEc:red:sed015:1494.

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  5. Momentum returns and information uncertainty: Evidence from China. (2014). Nartea, Gilbert ; Cheema, Muhammad.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:30:y:2014:i:c:p:173-188.

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  6. Idiosyncratic Volatility and the Expected Stock Returns for Exploring the Relationship with Panel Threshold Regression. (2013). Wang, Mu-Shun.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:20:y:2013:i:2:p:113-129.

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  7. Does idiosyncratic volatility matter in emerging markets? Evidence from China. (2013). Wu, Ji ; Nartea, Gilbert ; Liu, Zhentao .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:27:y:2013:i:c:p:137-160.

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  8. A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?. (2013). Wagner, Niklas ; Winter, Elisabeth .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:21:y:2013:i:c:p:69-85.

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  9. Idiosyncratic risk and expected returns in frontier markets: Evidence from GCC. (2012). Bley, Jorg ; Saad, Mohsen.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:3:p:538-554.

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  10. Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors. (2011). Chabi-Yo, Fousseni.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:8:p:1971-1983.

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  11. Costly arbitrage and idiosyncratic risk: Evidence from short sellers. (2010). McLean, R. David ; Hu, Gang ; Duan, Ying .
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:19:y:2010:i:4:p:564-579.

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  12. Gambling Preference and the New Year Effect of Assets with Lottery Features. (2009). Jiang, Danling ; Doran, James ; Peterson, David .
    In: MPRA Paper.
    RePEc:pra:mprapa:15463.

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  13. Idiosyncratic risk and the cross-section of expected stock returns. (2009). Fu, Fangjian .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:91:y:2009:i:1:p:24-37.

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  14. Daily short interest, idiosyncratic risk, and stock returns. (2009). Doukas, John ; Au, Andrea S. ; Onayev, Zhan.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:12:y:2009:i:2:p:290-316.

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  15. Patterns in cross market liquidity. (2008). Spiegel, Matthew .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:5:y:2008:i:1:p:2-10.

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  16. Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle. (2007). Jiang, Danling ; Doran, James ; Peterson, David .
    In: MPRA Paper.
    RePEc:pra:mprapa:4995.

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References

References cited by this document

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  63. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. (2004). Vayanos, Dimitri.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10327.

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  64. Multi-market Trading and Arbitrage. (2004). Karolyi, G. ; Gagnon, Louis .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2004-9.

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  65. From Pink Slips to Pink Sheets: Liquidity and Shareholder Wealth Consequences of Nasdaq Delistings. (2004). Harris, Jeffrey ; Werner, Ingrid ; Panchapagesan, Venkatesh ; Angel, James J..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2004-22.

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  66. Asset Pricing with Liquidity Risk. (2003). Pedersen, Lasse ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3749.

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  67. On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation. (2003). Ghysels, Eric ; Pereira, Joo.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-27.

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