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What does the individual option volatility smirk tell us about future equity returns?

Xing, Yuhang; Zhang, Xiaoyan; Zhao, Rui - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 3, pp. 641-662

Persistent link: https://www.econbiz.de/10008657211

High idiosyncratic volatility and low returns : international and further US evidence

Ang, Andrew; Hodrick, Robert J.; Xing, Yuhang; Zhang, … - In: Journal of financial economics 91 (2009) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10003813173

Investing in talents : manager characteristics and hedge fund performances

Li, Haitao; Zhang, Xiaoyan; Zhao, Rui - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 1, pp. 59-82

Persistent link: https://www.econbiz.de/10008991272

Shackling short sellers : the 2008 shorting ban

Boehmer, Ekkehart; Jones, Charles M.; Zhang, Xiaoyan - In: The review of financial studies 26 (2013) 6, pp. 1363-1400

Persistent link: https://www.econbiz.de/10009755374

Aggregate idiosyncratic volatility

Bekaert, Geert; Hodrick, Robert J.; Zhang, Xiaoyan - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 6, pp. 1155-1185

Persistent link: https://www.econbiz.de/10009728911

Strategic risk shifting and the idiosyncratic volatility puzzle

Chen, Zhiyao; Strebulaev, Ilya A.; Xing, Yuhang; Zhang, … - 2014

We find strong empirical support for the risk-shifting mechanism to account for the puzzling negative relation between idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their firms are in distress and receive less...

Persistent link: https://www.econbiz.de/10010387144