Idiosyncratic volatility in the Australian equity market

Pacific-Basin Finance Journal - Tập 50 - Trang 105-125 - 2018
Angel Zhong1
1Peter Faber Business School, Australian Catholic University, East Melbourne, VIC 3002, Australia

Tài liệu tham khảo

Akhtar, 2011, The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates, Appl. Econ. Lett., 36, 387 Amihud, 2002, Illiquidity and stock returns: cross-section and time-series effects, J. Financ. Mark., 5, 31, 10.1016/S1386-4181(01)00024-6 Ang, 2006, The cross-section of volatility and expected returns, J. Financ., 61, 259, 10.1111/j.1540-6261.2006.00836.x Ang, 2009, High idiosyncratic volatility and low returns: international and further U.S. evidence, J. Financ., 91, 1 Bali, 2008, Idiosyncratic volatility and the cross section of expected returns, J. Financ. Quant. Anal., 43, 29, 10.1017/S002210900000274X Bali, 2011, Maxing out: stocks as lotteries and the cross-section of expected returns, J. Financ. Econ., 99, 427, 10.1016/j.jfineco.2010.08.014 Bali, 2010, The intertemporal capital asset pricing model with dynamic conditional correlations, J. Monet. Econ., 57, 377, 10.1016/j.jmoneco.2010.03.002 Bettman, 2011, Exploring the asset growth effect in the Australian equity market, Aust. J. Manag., 36, 200, 10.1177/0312896211404572 Black, 1972, Capital market equilibrium with restricted borrowing, J. Bus., 45, 444, 10.1086/295472 Bollen, 2008, Are company size and stock beta, liquidity and idiosyncratic volatility related to stock returns? Australian evidence, Invest. Manag. Financ. Innov., 5, 143 Boyer, 2010, Expected idiosyncratic skewness, Rev. Financ. Stud., 27, 169, 10.1093/rfs/hhp041 Brailsford, 2012, Size and book-to-market factors in Australia, Aust. J. Manag., 37, 261, 10.1177/0312896211423555 Campbell, 2001, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, J. Financ., 56, 1, 10.1111/0022-1082.00318 Chen, 2002, Breadth of ownership and stock returns, J. Financ. Econ., 66, 171, 10.1016/S0304-405X(02)00223-4 Chen, 2012, Does idiosyncratic volatility proxy for risk exposure?, Rev. Financ. Stud., 25, 2745, 10.1093/rfs/hhs084 Chiah, 2016, A better model? An empirical investigation of the Fama–French five-factor model in Australia, Int. Rev. Financ., 16, 595, 10.1111/irfi.12099 Clinch, 2012, The accrual anomaly: Australian evidence, Account. Finance, 52, 377, 10.1111/j.1467-629X.2010.00380.x Comerton-Forde, 2016, Assessing the information content of short-selling metrics using daily disclosures, J. Bank. Financ., 64, 188, 10.1016/j.jbankfin.2015.12.009 Cooper, 2008, Asset growth and the cross-section of stock returns, J. Financ., 63, 1609, 10.1111/j.1540-6261.2008.01370.x Daniel, 1997, Measuring mutual fund performance with characteristic-based benchmarks, J. Financ., 52, 1035, 10.1111/j.1540-6261.1997.tb02724.x Daniel, 1997, Evidence on the characteristics of cross sectional variation in stock returns, J. Financ., 52, 1, 10.1111/j.1540-6261.1997.tb03806.x Demir, 2004, Momentum returns in Australian equities: the influences of size, risk, liquidity and return computation, Pac. Basin Financ. J., 12, 143, 10.1016/j.pacfin.2003.07.002 Do, 2012, Does the 2008 short sale ban affect the enforcement of the Law of One Price? Evidence from Australia, Account. Finance, 52, 117, 10.1111/j.1467-629X.2011.00409.x Doran, 2012, Gambling preference and the new year effect of assets with lottery features, Review of Finance, 16, 685, 10.1093/rof/rfr006 Dou, 2013, Dissecting anomalies in the Australian stock market, Aust. J. Manag., 38, 353, 10.1177/0312896212455809 Durand, 2016, The Australian asset-pricing debate, Account. Finance, 56, 10.1111/acfi.12097 Durand, 2006, In America's thrall: the effects of the US market and US security characteristics on Australian stock returns, Account. Finance, 46, 577, 10.1111/j.1467-629X.2006.00184.x Durand, 2006, Momentum in Australia — a note, Aust. J. Manag., 31, 355, 10.1177/031289620603100209 Elliot, 2017, Profitability and investment-based factor pricing models, Account. Finance Fama, 1992, The cross-section of expected stock returns, J. Financ., 47, 427, 10.1111/j.1540-6261.1992.tb04398.x Fama, 1993, Common risk factors in the returns on stocks and bonds, J. Financ. Econ., 33, 3, 10.1016/0304-405X(93)90023-5 Fama, 2006, The value premium and the CAPM, J. Financ., 61, 2163, 10.1111/j.1540-6261.2006.01054.x Fama, 2008, Dissecting anomalies, J. Financ., 63, 1653, 10.1111/j.1540-6261.2008.01371.x Fama, 2012, Size, value, and momentum in international stock returns, J. Financ. Econ., 105, 10.1016/j.jfineco.2012.05.011 Fama, 2015, A five-factor asset pricing model, J. Financ. Econ., 116, 1, 10.1016/j.jfineco.2014.10.010 Fama, 2016, Dissecting anomalies with a five-factor model, Rev. Financ. Stud., 29, 69, 10.1093/rfs/hhv043 Fama, 1973, Risk, return and equilibrium: empirical tests, J. Polit. Econ., 81, 607, 10.1086/260061 Fu, 2009, Idiosyncratic risk and the cross-section of expected stock returns, J. Financ. Econ., 91, 24, 10.1016/j.jfineco.2008.02.003 George, 2011, Analyst Coverage and the Cross Sectional Relation Between Returns and Volatility Gharghori, 2009, Anomalies and stock returns: Australian evidence, Account. Finance, 49, 555, 10.1111/j.1467-629X.2009.00298.x Gharghori, 2011, Difference of opinion and the cross-section of equity returns: Australian evidence, Pac. Basin Financ. J., 19, 435, 10.1016/j.pacfin.2011.03.004 Gray, 2017, Constructing Daily Asset Pricing Models for the Australian Equity Market Gray, 2011, The relationship between asset growth and the cross-section of stock returns, J. Bank. Financ., 35, 670, 10.1016/j.jbankfin.2010.06.005 Gray, 2009, Accruals quality, information risk and cost of capital: evidence from Australia, J. Bus. Finan. Acc., 36, 51, 10.1111/j.1468-5957.2008.02118.x Han, 2011, Liquidity biases and the pricing of cross-sectional idiosyncratic volatility, Rev. Financ. Stud., 24, 1590, 10.1093/rfs/hhq140 Harvey, 2000, Conditional skewness in asset pricing tests, J. Financ., 55, 1263, 10.1111/0022-1082.00247 Herskovic, 2016, The common factor in idiosyncratic volatility: quantitative asset pricing implications, J. Financ. Econ., 119, 249, 10.1016/j.jfineco.2015.09.010 Hou, 2016, Have we solved the idiosyncratic volatility puzzle?, J. Financ. Econ., 121, 167, 10.1016/j.jfineco.2016.02.013 Hou, 2015, Digesting anomalies: an investment approach, Rev. Financ. Stud., 28, 650, 10.1093/rfs/hhu068 Huang, 2010, Return reversals, idiosyncratic risk, and expected returns, Rev. Financ. Stud., 23, 147, 10.1093/rfs/hhp015 Huynh, 2017, Delisted stocks and momentum: evidence from a new Australian dataset, Aust. J. Manag., 42, 140, 10.1177/0312896214565118 Jiang, 2009, The information content of idiosyncratic volatility, J. Financ. Quant. Anal., 44, 1, 10.1017/S0022109009090073 Kumar, 2009, Who gambles in the stock market, J. Financ., 64, 1889, 10.1111/j.1540-6261.2009.01483.x Lam, 2011, Limits-to-arbitrage, investment frictions and the asset growth anomaly, J. Financ. Econ., 102, 127, 10.1016/j.jfineco.2011.03.024 Lesmond, 2004, The illusory nature of momentum profits, J. Financ. Econ., 71, 349, 10.1016/S0304-405X(03)00206-X Li, 2010, Does q-theory with investment frictions explain anomalies in the cross-section of returns?, J. Financ. Econ., 98, 297, 10.1016/j.jfineco.2010.06.001 Limkriangkrai, 2008, Is liquidity the missing link, Account. Finance, 48, 829 Limkriangkrai, 2009, A robustness test of asset-pricing models using individual security returns, Appl. Econ. Lett., 16, 629, 10.1080/17446540802277179 Lintner, 1965, Security prices, risk and maximal gains from diversification, J. Financ., 20, 587 Liu, 2016, The pricing of idiosyncratic volatility: an Australian study, Aust. J. Manag., 41, 353, 10.1177/0312896214541554 Malagon, 2015, The idiosyncratic volatility anomaly: corporate investment or investor mispricing?, J. Bank. Financ., 60, 224, 10.1016/j.jbankfin.2015.08.014 Markowitz, 1952, Portfolio selection, J. Financ., 7, 77 McLean, 2010, Idiosyncratic risk, long-term reversal, and momentum, J. Financ. Quant. Anal., 45, 883, 10.1017/S0022109010000311 Merton, 1973, Intertemporal capital asset pricing model, Econometrica, 41, 867, 10.2307/1913811 Merton, 1987, A simple model of capital market equilibrium with incomplete information, J. Financ., 42, 483, 10.1111/j.1540-6261.1987.tb04565.x Miller, 1977, Risk, uncertainty and divergence of opinion, J. Financ., 32, 1151, 10.1111/j.1540-6261.1977.tb03317.x Nagel, 2005, Short sales, institutional investors and the cross-section of stock returns, J. Financ. Econ., 78, 277, 10.1016/j.jfineco.2004.08.008 Nartea, 2011, Idiosyncratic volatility and cross-sectional stock returns in Southeast Asian stock markets, Account. Finance, 51, 1031, 10.1111/j.1467-629X.2010.00384.x Newey, 1987, A simple positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703, 10.2307/1913610 Novy-Marx, 2013, The other side of value: the gross profitability premium, J. Financ. Econ., 108, 1, 10.1016/j.jfineco.2013.01.003 Pontiff, 2006, Costly arbitrage and the myth of idiosyncratic risk, J. Account. Econ., 42, 35, 10.1016/j.jacceco.2006.04.002 Pukthuanthong-Le, 2009, Idiosyncratic volatility and stock returns: a cross country analysis, Appl. Financ. Econ., 19, 1269, 10.1080/09603100802534297 Roll, 1984, A simple implicit measure of the effective bid-ask spread in an efficient market, J. Financ., 39, 1127, 10.1111/j.1540-6261.1984.tb03897.x Sharpe, 1964, Capital asset prices: a theory of market equilibrium under conditions of risk, J. Financ., 19, 425 Shleifer, 1997, The limits of arbitrage, J. Financ., 52, 35, 10.1111/j.1540-6261.1997.tb03807.x Stambaugh, 2015, Arbitrage asymmetry and the idiosyncratic volatility puzzle, J. Financ., 70, 1903, 10.1111/jofi.12286 Zhong, 2016, The MAX effect: An exploration of risk and mispricing explanations, J. Bank. Financ., 65, 76, 10.1016/j.jbankfin.2016.01.007 Zhong, 2014, Anomalies, risk adjustment and seasonality: Australian evidence, Int. Rev. Financ. Anal., 35, 207, 10.1016/j.irfa.2014.09.004