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1. Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market. (2022). Zhou, Wei-Xing ; Shi, Huai-Long.
   In: Papers.
   RePEc:arx:papers:1910.13115.

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2. Anomalies Abroad: Beyond Data Mining. (2017). Yuan, Yu ; Stambaugh, Robert ; Lu, Xiaomeng.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:23809.

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3. Asset Pricing with Idiosyncratic Shocks. (2016). Vanitcharearntham, Vimut ; Srisuksai, Pithak.
   In: Applied Economics Journal.
   RePEc:aej:apecjn:v:23:y:2016:i:1:p:35-58.

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4. Does Idiosyncratic Risk Matter? Evidence from the Japanese Stock Market. (2015). Xiao, Bing.
   In: Eurasian Journal of Business and Management.
   RePEc:ejn:ejbmjr:v:3:y:2015:i:3:p:12-19.

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5. Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach. (2015). Tokpavi, Sessi ; Maillet, Bertrand ; Vaucher, Benoit.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:244:y:2015:i:1:p:289-299.

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6. Are extreme returns priced in the stock market? European evidence. (2013). de Ceuster, Marc ; Verstegen, Kurt ; Annaert, Jan.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:37:y:2013:i:9:p:3401-3411.

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7. Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly. (2013). Humphery-Jenner, Mark ; Dutt, Tanuj .
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:37:y:2013:i:3:p:999-1017.

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8. Incomplete information, idiosyncratic volatility and stock returns. (2013). Hugonnier, Julien ; Berrada, Tony.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:37:y:2013:i:2:p:448-462.

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9. Portfolio selection: An extreme value approach. (2013). DiTraglia, Francis ; Gerlach, Jeffrey R..
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:37:y:2013:i:2:p:305-323.

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10. The volatility effect in emerging markets. (2013). Vliet, Pim ; Blitz, David ; van Vliet, Pim ; Pang, Juan.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:16:y:2013:i:c:p:31-45.

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11. Return dispersion, stock market liquidity and aggregate economic activity. (2013). Floros, Christos ; Degiannakis, Stavros ; Angelidis, Timotheos ; Andrikopoulos, Andreas.
    In: Working Papers.
    RePEc:bog:wpaper:166.

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12. Emerging Stock Premia: Some Evidence From Industrial Stock Market Data. (2013). Donadelli, Michael ; Lucchetta, Marcella.
    In: Asian Economic and Financial Review.
    RePEc:asi:aeafrj:2013:p:398-422.

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13. An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union. (2012). Ammann, Manuel ; Odoni, Sandro ; Oesch, David.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2012:02.

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14. U.K. cross-sectional equity data: The case for robust investability filters. (2012). Rossi, Francesco.
    In: MPRA Paper.
    RePEc:pra:mprapa:43312.

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15. Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers. (2012). Skintzi, Vasiliki ; Angelidis, Timotheos ; Andrikopoulos, Andreas.
    In: MPRA Paper.
    RePEc:pra:mprapa:40003.

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16. Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates. (2012). Rossi, Francesco.
    In: MPRA Paper.
    RePEc:pra:mprapa:38682.

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17. A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks. (2012). Papanikolaou, Dimitris ; Kogan, Leonid.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17975.

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18. Empirical cross-sectional asset pricing: a survey. (2012). Goyal, Amit.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:3-38.

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19. Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns. (2012). Zhylyevskyy, Oleksandr ; Khovansky, Serguey.
    In: Staff General Research Papers Archive.
    RePEc:isu:genres:34990.

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20. R&D, risks and overreaction in a market with the absence of the book-to-market effect. (2012). Hung, Weifeng ; Liao, Tung Liang ; Huang, Sheng-Tang ; Chiao, Chaoshin.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:22:y:2012:i:1:p:11-24.

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21. Asset pricing with idiosyncratic risk: The Spanish case. (2012). Miralles Marcelo, Jose ; Miralles Quirós, José ; Miralles-Quiros, Maria del Mar, ; Miralles-Marcelo, Jose Luis.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:21:y:2012:i:1:p:261-271.

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22. Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets. (2012). Martinez Peria, Maria ; Love, Inessa ; Calomiris, Charles ; Martínez Pería, María Soledad, .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:4:p:743-765.

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23. An alternative three-factor model for international markets: Evidence from the European Monetary Union. (2012). Ammann, Manuel ; Odoni, Sandro ; Oesch, David.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:7:p:1857-1864.

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24. The implied cost of capital: A new approach. (2012). van Dijk, Mathijs ; Hou, Kewei ; Zhang, Yinglei.
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:53:y:2012:i:3:p:504-526.

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25. Idiosyncratic risk and expected returns in frontier markets: Evidence from GCC. (2012). Saad, Mohsen ; Bley, Jorg.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:3:p:538-554.

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26. Are extreme returns priced in the stock market? European evidence. (2012). Verstegen K., ; De Ceuster M., ; Annaert J., .
    In: Working Papers.
    RePEc:ant:wpaper:2012018.

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27. U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters. (2011). Rossi, Francesco.
    In: MPRA Paper.
    RePEc:pra:mprapa:38303.

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28. Difference of opinion and the cross-section of equity returns: Australian evidence. (2011). Gharghori, Philip ; See, Quin ; Veeraraghavan, Madhu.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:19:y:2011:i:4:p:435-446.

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29. Maxing out: Stocks as lotteries and the cross-section of expected returns. (2011). Bali, Turan G. ; Whitelaw, Robert F. ; Cakici, Nusret.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:2:p:427-446.

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30. Disagreement and return predictability of stock portfolios. (2011). Yu, Jialin.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:1:p:162-183.

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31. Religious beliefs, gambling attitudes, and financial market outcomes. (2011). Spalt, Oliver G. ; Page, Jeremy K. ; Kumar, Alok.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:102:y:2011:i:3:p:671-708.

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32. Limits-to-arbitrage, investment frictions, and the asset growth anomaly. (2011). Wei, K. C. John, ; Lam, F. Y. Eric C., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:102:y:2011:i:1:p:127-149.

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33. Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors. (2011). Chabi-Yo, Fousseni.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:8:p:1971-1983.

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34. Recovering copulas from limited information and an application to asset allocation. (2011). Chu, Ba.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:7:p:1824-1842.

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35. The return impact of realized and expected idiosyncratic volatility. (2011). Peterson, David R. ; Smedema, Adam R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:10:p:2547-2558.

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36. Intertemporal risk-return trade-off in foreign exchange rates. (2011). Christiansen, Charlotte ; Charlotte, Christiansen .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:21:y:2011:i:4:p:535-549.

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37. Disclosed corporate responses to climate change and stock performance: An international empirical analysis. (2011). Ziegler, Andreas ; HOFFMANN, VOLKER H. ; Busch, Timo.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:6:p:1283-1294.

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38. The Joint Dynamics of Equity Market Factors. (2011). Christoffersen, Peter ; Langlois, Hugues.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-45.

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39. Preferred risk habitat of individual investors. (2010). Huberman, Gur ; Dorn, Daniel.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:97:y:2010:i:1:p:155-173.

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40. The Sarbanes-Oxley act and corporate investment: A structural assessment. (2010). Liu, Qiao ; Qi, Rong ; Kang, Qiang.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:96:y:2010:i:2:p:291-305.

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41. Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns. (2010). Guo, Hui ; Savickas, Robert.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:7:p:1637-1649.

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42. World market risk, country-specific risk and expected returns in international stock markets. (2010). Bali, Turan G. ; Cakici, Nusret.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:6:p:1152-1165.

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43. Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns. (2009). Bali, Turan G. ; Whitelaw, Robert F. ; Cakici, Nusret.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14804.

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44. Idiosyncratic risk and the cross-section of expected stock returns. (2009). Fu, Fangjian.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:91:y:2009:i:1:p:24-37.

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45. Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408.

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46. Investor sentiment and stock returns: Some international evidence. (2008). Schmeling, Maik.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-407.

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47. Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-48.

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48. Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle. (2007). Jiang, Danling ; Doran, James ; Peterson, David.
    In: MPRA Paper.
    RePEc:pra:mprapa:4995.

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49. The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries. (2006). Guo, Hui ; Savickas, Robert.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-036.

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50. Aggregate idiosyncratic volatility in G7 countries. (2006). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-027.

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