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Quantitative Finance Volume 15, 2015 - Issue 2: Themed Issue on Trading
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Research Papers

Time horizon trading and the idiosyncratic risk puzzle

Juliana MalagonDepartment of Business Administration, University Carlos III, Getafe, Madrid, Spain.
,
David MorenoDepartment of Business Administration, University Carlos III, Getafe, Madrid, Spain.
&
Rosa RodríguezDepartment of Business Administration, University Carlos III, Getafe, Madrid, Spain.Correspondence[email protected]
Pages 327-343 | Received 02 Nov 2011, Accepted 29 Nov 2012, Published online: 18 Mar 2013

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Mariano González-Sánchez. (2022) Term Structure of Risk Factor Premiums Used for Pricing Asset: Emerging vs. Developed Markets. Emerging Markets Finance and Trade 58:5, pages 1339-1358.
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Gonçalo Faria & Fabio Verona. (2021) Time-frequency forecast of the equity premium. Quantitative Finance 21:12, pages 2119-2135.
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Jiawei Hong, Xiaojian Yu, Weilin Xiao & Xili Zhang. (2022) The dispersion of beta estimates and the investors’ heterogeneous Beliefs：Evidence from the stock market in China. International Review of Economics & Finance 79, pages 540-550.
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Manuel Monge & Luis A. Gil-Alana. (2020) The Lithium Industry and Analysis of the Beta Term Structure of Oil Companies. Risks 8:4, pages 130.
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Linda H. Chen, George J. Jiang, Danielle D. Xu & Tong Yao. (2020) Dissecting the idiosyncratic volatility anomaly. Journal of Empirical Finance 59, pages 193-209.
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Syed Riaz Mahmood Ali, Mohammad Nurul Hasan & Ralf Östermark. (2020) Are idiosyncratic risk and extreme positive return priced in the Indian equity market?. International Review of Economics & Finance 70, pages 530-545.
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Gonçalo Faria & Fabio Verona. (2020) The yield curve and the stock market: Mind the long run. Journal of Financial Markets 50, pages 100508.
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Libo Yin, Tengjia Shu & Zhi Su. (2019) Common idiosyncratic volatility and returns: From an investment horizon perspective. International Journal of Finance & Economics 24:1, pages 370-390.
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Gonçalo Faria & Fabio Verona. (2018) Forecasting stock market returns by summing the frequency-decomposed parts. Journal of Empirical Finance 45, pages 228-242.
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Juliana Malagon, David Moreno & Rosa Rodríguez. (2018) Idiosyncratic volatility, conditional liquidity and stock returns. International Review of Economics & Finance 53, pages 118-132.
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Jasmin Gider & Christian Westheide. (2016) Relative idiosyncratic volatility and the timing of corporate insider trading. Journal of Corporate Finance 39, pages 312-334.
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Juliana Malagon, David Moreno & Rosa Rodríguez. (2015) The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?. Journal of Banking & Finance 60, pages 224-238.
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Mohammad Jafarinejad, Surendranath R. Jory & Thanh N. Ngo. (2015) The effects of institutional ownership on the value and risk of diversified firms. International Review of Financial Analysis 40, pages 207-219.
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Gonnalo Faria & Fabio Verona. (2017) The Equity Risk Premium and the Low Frequency of the Term Spread. SSRN Electronic Journal.
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Marselinus Asri, Muhammad Ali, Abdul Hamid Habbe & Yohanis Rura. (2017) Idiosyncratic Risk and Asset Pricing: Study at Companies Listed on Indonesia Stock Exchange. SSRN Electronic Journal.
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