Advanced search
Publication Cover
Applied Economics Letters Volume 30, 2023 - Issue 16
Submit an article Journal homepage
164
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Price informativeness: a potential explanation for the idiosyncratic volatility puzzle

Jinyong Kima School of Economics, University of Seoul, Seoul, Republic of KoreaView further author information
&
Yongsik Kimb Department of International Finance, Hankuk University of Foreign Studies, Yongin-si, Republic of KoreaCorrespondence[email protected]
View further author information
Pages 2264-2269 | Published online: 04 Jul 2022

References

  • Ang, A., R. J. Hodrick, Y. Xing, and X. Zhang. 2006. “The Cross‐section of Volatility and Expected Returns.” Journal of Finance 61 (1): 259–299. doi:10.1111/j.1540-6261.2006.00836.x.
  • Ang, A., R. J. Hodrick, Y. Xing, and X. Zhang. 2009. “High Idiosyncratic Volatility and Low Returns: International and Further US Evidence.” Journal of Financial Economics 91 (1): 1–23. doi:10.1016/j.jfineco.2007.12.005.
  • Chen, Q., I. Goldstein, and W. Jiang. 2007. “Price Informativeness and Investment Sensitivity to Stock Price.” Review of Financial Studies 20 (3): 619–650. doi:10.1093/rfs/hhl024.
  • Durnev, A., R. Morck, and B. Yeung. 2004. “Value-enhancing Capital Budgeting and Firm-specific Stock Return Variation.” Journal of Finance 59 (1): 65–105. doi:10.1111/j.1540-6261.2004.00627.x.
  • Fama, E. F., and K. R. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 (1): 3–56. doi:10.1016/0304-405X(93)90023-5.
  • Fama, E. F., and K. R. French. 2015. “A Five-factor Asset Pricing Model.” Journal of Financial Economics 116 (1): 1–22. doi:10.1016/j.jfineco.2014.10.010.
  • Hou, K., and R. Loh. 2016. “Have We Solved the Idiosyncratic Volatility Puzzle?” Journal of Financial Economics 121 (1): 167–194. doi:10.1016/j.jfineco.2016.02.013.
  • Jegadeesh, N., and S. Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance 48 (1): 65–91. doi:10.1111/j.1540-6261.1993.tb04702.x.
  • Jin, L., and S. C. Myers. 2006. “R2 around the World: New Theory and New Tests.” Journal of Financial Economics 79 (2): 257–292. doi:10.1016/j.jfineco.2004.11.003.
  • Li, B., S. Rajgopal, and M. Venkatachalam. 2014. “R2 and Idiosyncratic Risk Are Not Interchangeable.” Accounting Review 89 (6): 2261–2295. doi:10.2308/accr-50826.
  • Morck, R., B. Yeung, and W. Yu. 2000. “The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?” Journal of Financial Economics 58 (1–2): 215–260. doi:10.1016/S0304-405X(00)00071-4.
  • Morck, R., B. Yeung, and W. Yu. 2013. “R2 and the Economy.” Annual Review of Financial Economics 5 (1): 143–166. doi:10.1146/annurev-financial-110112-120936.
  • Roll, R. 1988. “R2.” Journal of Finance 43 (3): 541–545.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.