Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns

Author:

Barinov Alexander

Publisher

Elsevier BV

Reference49 articles.

1. Stock Returns and Volatility: Pricing the Short-run and Long-run Components of Market Risk;T Adrian;Journal of Finance,2008

2. Arbitrage Risk and the Book-to-Market Anomaly;A Ali;Journal of Financial Economics,2003

3. Short Sales Constraints and Momentum in Stock Returns;A Ali;Journal of Business Finance and Accounting,2006

4. The Cross-Section of Volatility and Expected Returns;A Ang;Journal of Finance,2006

5. The Devil in HML's Details;C Asness;Journal of Portfolio Management,2013

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1. Turnover premia in China's stock markets;Pacific-Basin Finance Journal;2021-02

2. Dissecting the idiosyncratic volatility anomaly;Journal of Empirical Finance;2020-12

3. Institutional ownership and aggregate volatility risk;Journal of Empirical Finance;2017-01

4. Ambiguity, Macro Factors, and Stock Return Volatility;SSRN Electronic Journal;2016

5. Why Does Idiosyncratic Risk Increase with Market Risk?;SSRN Electronic Journal;2016

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