Journal

Article title

Authors

Content

Full texts:

Title variants

Languages of publication

Abstracts

Year

Issue

Pages

27-53

Physical description

Dates

online

2017-10-10

Contributors

author

- Department of Econometrics and Business Statistics, Monash University, Caulfield East 3145, Australia

author

References

- Ang, A., Hodrick, R., Xing, Y., Zhang, X. (2006) The cross-Section of volatility and future excess returns, Journal of Finance 61, pp. 259–299.
- Ang, A., Hodrick, R., Xing, Y., Zhang, X. (2009) High idiosyncratic volatility and low returns: International and further U.S. evidence, Journal of Financial Economics,91, pp. 1–23.
- Angelidis, T., Tessaromatis, N. (2008) Idiosyncratic volatility and equity returns: UK evidence, International review of Financial Analysis 17, pp. 539-556.
- Arena, M.P., Haggard, K.S., Yan, X. (2008) Price momentum and idiosyncratic volatility, The Financial Review 43, pp. 159–190.
- Avramov, D., Chordia, T., Goyal, A. (2006) Liquidity and Autocorrelations in Individual Stock Returns, Journal of Finance 61, pp. 2365–2394.
- Banz, R. W. (1981) The relationship between return and market value of common stocks, Journal of Financial Economics 9, pp. 3–18.
- Barnes, M., Hughes, A. (2002) A quantile regression analysis of the cross section of stocks market returns, Working paper(http://ssrn.com/absract=458522).
- Bassett Jr, G. W., Chen, H. (2001) Portfolio style: Return-based attribution using quantile regression, Empirical Economics 26, pp. 293–305.
- Beedles, W. L., Dodd, P., Officer, R. R. (1988) Regularities in Australian Share Returns, Australian Journal of Management 13, pp. 1–29.
- Buchinsky, M. (1997) The dynamics of changes in the female wage distribution in the USA: A quantile regression approach, Journal of Applied Econometrics 13, pp. 1–30.
- Buchinsky, M. (1998) Recent advances in quantile regression models: A practical guideline for empirical research, Journal of Human Resources 33, pp. 88-126.
- Campbell, J. Y., Grossman, S. J., Wang, J. (1993) Trading Volume and Serial Correlation in Stock Returns, The Quarterly Journal of Economics 108, pp. 905–939.
- Campbell, J. Y., Lettau, M., Malkiel, B. G., Xu, Y. (2001) Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, Journal of Finance 56, pp. 1–43. Chordia, T., Roll, R., Subrahmanyam, A. (2005) Evidence on the speed of convergence to market efficiency, Journal of Financial Economics 76, pp. 271–292.
- Connolly, R., Stivers, C. (2003) Momentum and Reversals in Equity-Index Returns During Periods of Abnormal Turnover and Return Dispersion, The Journal of Finance 58, pp. 1521–1555.
- De Bondt, W. F. M., Thanler, R. (1985) Does the stock market overreact? Journal of Finance 40, pp. 793–805.
- Drew, M.E., Veeraraghavan, M., Ye, M. (2007) Do momentum strategies work? Australian evidence, Managerial Finance 33, pp.772–787.
- Engle, R., Granger, C. (1987) Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica 35, pp. 251–276.
- Engle, R. F., Manganelli, S. (2004) CAViaR: Conditional Value at Risk by Regression Quantile, Journal of Business, Economics and Statistics 22, pp. 367-381.
- Fama, E., MacBeth, J. (1973) Risk, return and equilibrium: Empirical tests, Journal of Political Economy 81, pp. 607–636.
- Fama, E., French, K. (1988) Permanent and temporary components of stock prices, Journal of Political Economy 96, pp. 247–273.
- Fama, E., French, K. (1992) The cross-section of future excess returns, Journal of Finance 47, pp. 427–465.
- Fama, E., French, K. (1993) Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, pp. 3–56.
- Fu, F. (2009) Idiosyncratic risk and the cross-section of expected stock returns, Journal of Financial Economics 91, pp. 24–37.
- Goyal, A., Santa-Clara, P. (2003) Idiosyncratic Risk Matters! Journal of Finance 58, pp. 975–1007.
- Greene, W. H. (2012) Econometric Analysis, Pearson Education Limited, Essex, England
- Huang, W., Liu, Q., Rhee, S., Zhang, L. (2010) Return Reversals, Idiosyncratic Risk, and Expected Returns, Review of Financial Studies 23, pp. 147–168.
- Hur, T. S. (2010) Idiosyncratic volatility and future excess returns in the Australian market. Master of Business Thesis, Auckland University of Technology, New Zealand.
- Jiang, G., Xu, D., Yao, T. (2009) The information content of idiosyncratic volatility, Journal of Financial and Quantitative Analysis 44, pp. 1–28.
- Jiang, X., Lee, B. S. (2006) On the dynamic relation between returns and idiosyncratic volatility, Financial Management 35, pp. 43–65.
- Jegadeesh, N. (1990) Evidence of Predictable Behavior of Security Returns, Journal of Finance 45, pp. 881–898.
- Jegadeesh, N., Titman, S. (1993) Returns to Buying Winners and Selling Losers: Implications for Stock market Efficiency, Journal of Finance 48, pp. 65–91.
- Koenker, R., Bassett, G. (1978) Regression Quantiles, Econometrica, 46, pp. 33–50.
- Koenker, R., Hallock, K. (2001) Quantile Regression, Journal of Economics Perspectives 15, pp. 143–156.
- Kuan, T., Li, C., Liu, C. (2012) Corporate governance and cash holdings: A quantile regression approach, International Review of Economics and Finance 24, pp. 303–314.
- Kumar, S., Rao, B. (2012) Error-correction based panel estimates of the demand for money of selected Asian countries with the extreme bound analysis, Economic Modelling 29, pp. 1181–1188.
- Lehmann, B. N. (1990) Fads, Martingales, and Market Efficiency, The Quarterly Journal of Economics 105, pp. 1–28.
- Lu-Andrews, R., Glascock, J. L. (2014) Liquidity, Price Behavior and Market-related Events, (Unpublished paper), Available at SSRN 1571512.
- Levy, H. (1978) Equilibrium in an imperfect market: a constraint on the number of securities in the portfolio, American Economic Review 68, pp. 643–658.
- Malkiel, B., Xu, Y. (2004) Idiosyncratic risk and security returns, (unpublished working paper), University of Texas at Dallas.
- Markowitz, H., (1959) Portfolio Selection: Efficient Diversification of Investments, New York: Wiley.
- Merton, R., (1971) Optimum consumption and portfolio rules in a continuous-time model, Journal of Economic Theory 3, pp. 373–413.
- Merton, R., (1973) An intertemporal capital asset pricing model, Econometrica 41, pp. 876–887.
- Merton, R. (1987) A simple model of capital market equilibrium with incomplete information, The Journal of Finance 42, pp. 483–510.
- Nath, H. B., Brooks, R. D. (2015) Assessing the idiosyncratic risk and stock returns relation in heteroskedasticity corrected predictive models using quantile regression, International Review of Economics and Finance 38, pp. 94–111.
- O’ Brien, M. A., Brailsford, T., Gaunt, C. (2012) Size and Book-to-market Factors in Australia. Australian Journal of Management 37, pp. 261–281.
- Pedroni, P. (2004) Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis, Econometric Theory 3, pp. 579–625.
- Ren, Y., Tu, Y., Yi, Y. (2015) Balanced Predictive Regressions, Monash University and Xiamen University Joint Workshop on Economics, Econometrics and Statistics, Dec 2015, Melbourne, Australia. Rouwenhorst, K.G. (1998) International Momentum Strategies, The Journal of Finance 53, pp. 267–284.
- Sims, C.A. (1984) Martingale-like Behavior of Prices and Interest Rates, Discussion Paper No. 205, Center for Economic Research, University of Minnesota.
- Westerlund, J. (2007) Testing for Error Correction in Panel Data, Oxford Bulletin of Economics and Statistics 69, pp. 709–748.
- Wan, C. (2008) Idiosyncratic volatility, expected windfall, and the cross-section of stock returns, Sighted at (www.acem.sjtu.edu.cn/upload/publish/img/1091231016500.pdf).

Document Type

Publication order reference

Identifiers

ISSN

2353-6845

YADDA identifier

bwmeta1.element.desklight-4615215b-d060-4411-8d66-475293693840