Affleck-Graves J, Hegde SP, Miller RE (1994) Trading mechanisms and the components of the bid-ask spread. J Finance 49(4):1471–1488.
Amihud Y (2002) Illiquidity and stock returns: cross-section and time-series effects. J Financ Markets 5(1):31–56.
Amihud Y, Mendelson H (1986) Asset pricing and the bid-ask spread. J Financ Econ 17(2):223–249.
Ang A, Hodrick RJ, Xing Y, Zhang X (2006) The cross-section of volatility and expected returns. J Finance 61(1):259–299.
- Ang JS, Ciccone SJ (2001) Analyst forecasts and stock returns. SSRN eLibrary. http://ssrn.com/paper=271713 .
Paper not yet in RePEc: Add citation now
- Asquith P, Meulbroek LK (1995) An empirical investigation of short interest. Division of Research, Harvard Business School.
Paper not yet in RePEc: Add citation now
Asquith P, Pathak PA, Ritter JR (2005) Short interest, institutional ownership, and stock returns. J Financ Econ 78(2):243–276.
Avramov D, Chordia T, Jostova G, Philipov A (2013) Anomalies and financial distress. J Financ Econ 108(1):139–159.
Baik B, Park C (2003) Dispersion of analysts’ expectations and the cross-section of stock returns. Appl Financ Econ 13(11):829–839.
Bali TG, Cakici N (2008) Idiosyncratic volatility and the cross-section of expected returns. J Financ Quant Anal 43:29–58.
Barber B, Lehavy R, McNichols M, Trueman B (2001) Can investors profit from the Prophets? Security analyst recommendations and stock returns. J Finance 56(2):531–563.
Barber BM, Loeffler D (1993) The ‘Dartboard’ column: second-hand information and price pressure. J Financ Quant Anal 28 (2):273–284.
Barberis N, Huang M (2001) Mental accounting, loss aversion, and individual stock returns. J Finance 56(4):1247–1292.
Barron OE, Stanford MH, Yong Yu (2009) Further evidence on the relation between analysts’ forecast dispersion and stock returns. Contemp Account Res 26(2):329–357.
Beneish, M. D. (1991). Stock prices and the dissemination of analysts’ recommendation. J Bus 393–416.
- Bidwell CM (1977) How good is institutional brokerage research? J Portfolio Manag 3(2):26–31.
Paper not yet in RePEc: Add citation now
Boehme RD, Danielsen BR, Sorescu SM (2006) Short-sale constraints, differences of opinion, and overvaluation. J Financ Quant Anal 41(02):455–487.
- Bradshaw MT (2004) How do analysts use their earnings forecasts in generating stock recommendations? Account Rev 79(1):25–50.
Paper not yet in RePEc: Add citation now
Brent A, Morse D, Kay Stice E (1990) Short interest: explanations and tests. J Financ Quant Anal 25(2):273–289.
- Brockman P, Schutte M, Yu W (2007) Is idiosyncratic volatility priced? The international evidence. Unpublished working paper. University of Missouri U Columbia.
Paper not yet in RePEc: Add citation now
Carhart MM (1997) On persistence in mutual fund performance. J Finance 52(1):57–82.
Chen JH, Jiang CX, Kim JC, McInish TH (2003) Bid-ask spreads, information asymmetry, and abnormal investor sentiment: evidence from closed-end funds. Rev Quant Financ Acc 21(4):303–321.
- Chen NF, Kan R (1989) Expected return and the bid-ask spread. Center for Research in Security Prices, Graduate School of Business, University of Chicago.
Paper not yet in RePEc: Add citation now
Chen Z, Petkova R (2012) Does idiosyncratic volatility proxy for risk exposure? Rev Financ Stud 25:2745–2787.
Ciccone SJ (2003) Forecast dispersion and error versus size, book-to-market ratio and momentum: A comparison of anomalies from 1992 to 2001. J Asset Manag 3(4):333–344.
- Clarke J, Shastri K (2001) On information asymmetry metrics. University of Pittsburgh, Finance Dept., working paper.
Paper not yet in RePEc: Add citation now
Constantinides GM (1986) Capital market equilibrium with transaction costs. J Polit Econ 94(4):842–862.
- Corwin SA, Schultz PH (2011) A simple way to estimate bid-ask spreads from daily high and low prices. SSRN eLibrary. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1106193 .
Paper not yet in RePEc: Add citation now
Cragg JG, Malkiel BG (1982) Expectations and the structure of share prices. NBER Books. National Bureau of Economic Research, Inc. https://ideas.repec.org/b/nbr/nberbk/crag82-1.html .
- D’Avolio G (2002) The market for borrowing stock. J Financ Econ 66(2):271–306.
Paper not yet in RePEc: Add citation now
Davies PL, Canes M (1978) Stock prices and the publication of second-hand information. J Bus 51(1):43–56.
Dechow PM, Hutton AP, Meulbroek L, Sloan RG (2001) Short-sellers, fundamental analysis, and stock returns. J Financ Econ 61(1):77–106.
Desai H, Ramesh K, Ramu Thiagarajan S, Balachandran BV (2002) An investigation of the informational role of short interest in the Nasdaq Market. J Finance 57(5):2263–2287.
Diamond DW, Verrecchia RE (1987) Constraints on short-selling and asset price adjustment to private information. J Financ Econ 18(2):277–311.
- Diefenbach RE (1972) How good is institutional brokerage research? Financ Anal J 28(1):54–60.
Paper not yet in RePEc: Add citation now
Diether KB, Malloy CJ, Scherbina A (2002) Differences of opinion and the cross section of stock returns. J Finance 57(5):2113–2141.
Dische A (2002) Dispersion in analyst forecasts and the profitability of earnings momentum strategies. Eur Financ Manage 8(2):211–228.
Duffie D, Gârleanu N, Pedersen LH (2002) Securities lending, shorting, and pricing. J Financ Econ Limits Arbitr 66(2–3):307–339.
Dugar A, Nathan S (1995) The effect of investment banking relationships on financial analysts’ earnings forecasts and investment recommendations. Contemp Account Res 12(1):131–160.
Eames M, Glover SM, Kennedy J (2002) The association between trading recommendations and broker-analysts’ earnings forecasts. J Account Res 40(1):85–104.
- Eiling E (2006) Can nontradable assets explain the apparent premium for idiosyncratic risk? The case of industry-specific human capital. Unpublished working paper. Tilburg University, Netherlands.
Paper not yet in RePEc: Add citation now
Ertimur Y, Sunder J, Sunder SV (2007) Measure for measure: the relation between forecast accuracy and recommendation profitability of analysts. J Account Res 45(3):567–606.
Ewens M, Jones CM, Rhodes-Kropf M (2013) The price of diversifiable risk in venture capital and private equity. Rev Financ Stud 26:1854–1889.
Fama EF, French KR (1993) Common risk factors in the returns on stocks and bonds. J Financ Econ 33(1):3–56.
Fama EF, French KR (2015) A five-factor asset pricing model. J Financ Econ 116(1):1–22.
Figlewski S (1981) The informational effects of restrictions on short sales: some empirical evidence. J Financ Quant Anal 16(4):463–476.
Figlewski S, Webb GP (1993) Options, short sales, and market completeness. J Finance 48(2):761–777.
Fink JD, Fink KE, He H (2012) Expected idiosyncratic volatility measures and expected returns. Financ Manage 41(3):519–553.
Francis J, Philbrick D (1993) Analysts’ decisions as products of a multi-task environment. J Account Res 31(2):216–230.
Fu F (2009) Idiosyncratic risk and the cross-section of expected stock returns. J Financ Econ 91(1):24–37.
Gharghori P, See Q, Veeraraghavan M (2011) Difference of opinion and the cross-section of equity returns: Australian evidence. Pacific-Basin Finance J 19(4):435–446.
- Givoly D, Lakonishok J (1984) Properties of analysts’ forecasts of earnings: a review and analysis of the research. J Account Lit 3(1):117–152.
Paper not yet in RePEc: Add citation now
Glosten LR, Milgrom PR (1985) Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. J Financ Econ 14(1):71–100.
- Gopalan M (2003) Short constraints, difference of opinion and stock returns. SSRN eLibrary. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=469561 .
Paper not yet in RePEc: Add citation now
Guo H, Kassa H, Ferguson MF (2014) On the relation between EGARCH idiosyncratic volatility and expected stock returns. J Financ Quant Anal 49(01):271–296.
Hou K, Loh RK (2016) Have we solved the idiosyncratic volatility puzzle? J Financ Econ 121(1):167–194.
Jegadeesh N, Kim J, Krische SD, Lee Charles M C (2004) Analyzing the analysts: when do recommendations add value? J Finance 59(3):1083–1124.
Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J Finance 48(1):65–91.
Jiang GJ, Xu D, Yao T (2009) The information content of idiosyncratic volatility. J Financ Quant Anal 44(01):1–28.
- Jin LL (2013) Idiosyncratic volatility, arbitrage risk, and anomaly returns. University of Pennsylvania.
Paper not yet in RePEc: Add citation now
Johnson TC (2004) Forecast dispersion and the cross section of expected returns. J Finance 59(5):1957–1978.
Jones CM, Lamont OA (2002) Short-sale constraints and stock returns. J Financ Econ 66(2–3):207–239.
- Keim D, Madhavan A (1988) The cost of institutional equity trades: an overview. Financ Anal J 54(4):50–69.
Paper not yet in RePEc: Add citation now
Kluger BD, Stephan J (1997) Alternative liquidity measures and stock returns. Rev Quant Financ Acc 8(1):19–36.
Kyle AS (1985) Continuous auctions and insider trading. Econometrica 53(6):1315–1335.
Lee E (2016) Short selling and market mispricing. Rev Quant Financ Acc 47(3):797–833.
Liang B (1999) Price pressure: evidence from the ‘Dartboard’ column. J Bus 72(1):119–134.
Lin H-w, McNichols MF (1998) Underwriting relationships, analysts’ earnings forecasts and investment recommendations. J Account Econ 25(1):101–127.
- Lin LK, Shy, S-D (2007) Test conflict of interest in analyst´s recommendations from a new perspective. Bus Rev Camb 7(2):98–104.
Paper not yet in RePEc: Add citation now
Liu P, Smith SD, Syed AA (1990) Stock price reactions to the wall street journal’s securities recommendations. J Financ Quant Anal 25(3):399–410.
Loh RK, Mian GM (2006) Do accurate earnings forecasts facilitate superior investment recommendations? J Financ Econ 80(2):455–483.
- Malkiel BG, Xu Y (2002) Idiosyncratic risk and security returns. University of Texas at Dallas (November 2002).
Paper not yet in RePEc: Add citation now
Merton RC (1987) A simple model of capital market equilibrium with incomplete information. J Finance 42(3):483–510.
Miller EM (1977) Risk, uncertainty, and divergence of opinion. J Finance 32(4):1151–1168.
Miller MH, Scholes MS (1982) Dividends and taxes: some empirical evidence. J Polit Econ 90(6): 1118–1141.
Nagel S (2005) Short sales, institutional investors and the cross-section of stock returns. J Financ Econ 78(2):277–309.
Newey WK, West KD (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.
- Palmon D, Sudit EF, Yezegel A (2009) The value of columnists’ stock recommendations: an event study approach. Rev Quant Financ Acc 33(3):209–232.
Paper not yet in RePEc: Add citation now
- Qu S, Starks L, Yan H (2003) Risk, dispersion of analyst forecasts and stock returns. University of Texas at Austin Working Paper.
Paper not yet in RePEc: Add citation now
Sadka R, Anna S (2007) Analyst disagreement, mispricing, and liquidity. J Finance 62(5):2367–2403.
Sidhu B, Tan HC (2011) The performance of equity analysts during the global financial crisis. Aust Account Rev 21(1):32–43.
- Spiegel MI, Wang X (2005) Cross-sectional variation in stock returns: liquidity and idiosyncratic risk. Unpublished working paper, Yale University.
Paper not yet in RePEc: Add citation now
Stambaugh RF, Yu J, Yuan Y (2012) The short of it: investor sentiment and anomalies. J Financ Econ 104(2):288–302.
Stambaugh RF, Yu J, Yuan Y (2015) Arbitrage asymmetry and the idiosyncratic volatility puzzle. J Finance. 70(5):1903–1948.
Varian HR (1985) Divergence of opinion in complete markets: a note. J Finance 40(1):309–317.
Vidal-GarcÃa J, Vidal M, Nguyen DK (2016) Do liquidity and idiosyncratic risk matter? Evidence from the European mutual fund market. Rev Quant Financ Acc 47(2):213–247.
Womack KL (1996) Do Brokerage analysts’ recommendations have investment value? J Finance 51(1):137–167.
- Woolridge J Randall, Dickinson A (1994) Short selling and common stock prices. Financ Anal J 50(1):20–28.
Paper not yet in RePEc: Add citation now