Ahmed, M. S. & Alhadab, M. (2020). Momentum, asymmetric volatility and idiosyncratic risk-momentum relation: Does technology-sector matter?, The Quarterly Review of Economics and Finance.
doi.org/10.1016/j.qref.2020.05.005
Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2009). High idiosyncratic volatility and low returns: International and further US evidence, Journal of Financial Economics, 91(1):1-23.
doi.org/10.1016/j.jfineco.2007.12.005
Arabmazar Yazdi, M., Badri, A., & Davallou, M. (2016). Idiosyncratic risk pricing: evidence from Terhran Stock Exchange, Empirical Studies in Financial Accounting Quarterly, 12(47): 23-46.
doi.org/10.22054/qjma.2015.2535 (in Persian)
Badri, A., Davallou, M., & Arabmazar Yazdi, M. (2014). Idiosyncratic risk pricing: evidence based on information content of earnings, Journal of Empirical Research in Accounting, 3(3): 1-19.
doi.org/10.22051/jera.2014.608 (in Persian)
Badrinath, S. G., Gay, G. D., & Kale, J. R. (1989). Patterns of institutional investment, prudence, and the managerial" safety-net" hypothesis, Journal of Risk and Insurance, 56(4): 605-629. doi.org/ 10.2307/253449
Bali, T. G., & Cakici, N. (2008). Idiosyncratic volatility and the cross eection of expected returns, The Journal of Financial and Quantitative Analysis, 43(1): 29-58.
doi.org/10.1017/S002210900000274X
Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: stocks as lotteries and the cross-section of expected returns, Journal of Financial Economics, 99(2): 427-446.
doi.org/10.1016/j.jfineco.2010.08.014
Baltagi, B. (2008). Econometric analysis of panel data, John Wiley & Sons.
Banz, R. W., & Breen, W. J. (1986). Sample-dependent results using accounting and market data: some evidence, The Journal of Finance, 41(4): 779-793. doi.org/10.2307/2328228
Black, F. (1972). Capital market equilibrium with restricted borrowing. The Journal of Business, 45(3): 444-455. doi.org/10.1086/295472
Carhart, M. M. (1997). On persistence in mutual fund performance, The Journal of Finance, 52(1): 57-82. doi.org/10.2307/2329556
Chen, A., Chen, L.-W., & Kao, L. (2010). Leverage, liquidity and IPO long-run performance: evidence from Taiwan IPO markets, International Journal of Accounting & Information Management, 18(1): 31-38.
doi.org/10.1108/18347641011023261
Chua, C. T., Goh, J., & Zhang, Z. (2006). Idiosyncratic volatility matters for the cross-section of returns-in more ways than one, Unpublished working paper, Singapore Management University.
Drew, M., & Veeraraghavan, M. (2002). Idiosyncratic volatility and security returns: Evidence from the Asian region, International Quarterly Journal of Finance, 2(1-4): 1-14.
doi.org/10.1080/23322039.2017.1420998
Egginton, J. & Hur, J. (2018). The robust maximum daily return effect as demand for lottery and idiosyncratic volatility puzzle, Journal of Empirical Finance, 47: 229-245.
doi.org/10.1016/j.jempfin.2018.03.001
Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns, The Journal of Finance, 47(2):427-465. doi.org/ 10.2307/2329112
Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests, Journal of Political Economy, 81(3): 607-636.
doi.org/10.1086/260061
Fenner, R. G., Han, Y. & Huang, Z. (2020). Idiosyncratic volatility shocks, behavior bias, and cross-sectional stock returns. The Quarterly Review of Economics and Finance, 75: 276-293.
doi.org/10.1016/j.qref.2019.05.004
Gholipur Khanegah, M., Eyvazloo, S., Mahmoodzade, S., & V. M. (2017). Idiosyncratic risk and market friction in investment process, Investment Knowledge, 6(22): 13-27 (in Persian).
Goetzmann, W. N., & Kumar, A.(2008). Equity portfolio diversification, Review of Finance, 12(3): 433-463.
doi.org/10.1093/rof/rfn005
Gu, M., Kang, W., & Xu, B. (2018). Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market, Journal of Banking & Finance, 86: 240-258.
doi.org/10.1016/j.jbankfin.2015.08.016
Hausman, J. A. (1978). Specification tests in econometrics, Econometrica: Journal of the Econometric Society, 46(6): 1251-1271. doi.org/ 10.2307/1913827
Huang, W., Liu, Q., Rhee, S. G., & Zhang, L. (2009). Return reversals, idiosyncratic risk, and expected returns, The Review of Financial Studies, 23(1): 147-168.
doi.org/10.1093/rfs/hhp015
Jafari, A., Vakili Fard, H., Hamidian, M., & Talebnia, Gh. (2019). Pricing test of temperature volatility premium in the Tehran Stock Exchange, Financial Management Perspective, 8(24): 35-62 (in Persian).
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: implications for stock market efficiency, The Journal of Finance, 48(1): 65-91. doi.org/ 10.2307/2328882
Kumar, A. (2009). Hard-to-value stocks, behavioral biases, and informed trading, Journal of Financial and Quantitative Analysis, 44(6): 1375-1401.
doi.org/10.1017/S0022109009990342
Levy, H. (1978). Equilibrium in an imperfect market: a constraint on the number of securities in the portfolio, The American Economic Review, 68(4):643-658.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, The Review of Economics and Statistics, 47(1): 13-37. doi.org/10.2307/1924119
Liu, H. (2008). Portfolio insurance and underdiversification, Paper presented at the AFA 2009 San Francisco Meetings Paper.
doi.org/10.2139/ssrn.932581
Liu, S., Kong, A., Gu, R. & Guo, W. (2019). Does idiosyncratic volatility matter? — Evidence from Chinese stock market, Physica A: Statistical Mechanics and its Applications, 516: 393-401.
doi.org/10.1016/j.physa.2018.09.184
Malagon, J., Moreno, D. & Rodriguez, R. (2018). Idiosyncratic volatility, conditional liquidity and stock returns, International Review of Economics & Finance, 53: 118-132.
doi.org/10.1016/j.iref.2017.10.011
Mclean, R. D. (2010). Idiosyncratic risk, long-term reversal, and momentum, Journal of Financial and Quantitative Analysis, 45: 883-906.
doi.org/10.1017/S0022109010000311
Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information, The Journal of Finance, 42(3): 483-510. doi.org/10.1111/j.1540-6261.1987.tb04565.x
Mohammadi, S., & Asima, M. (2019). Idiosyncratic volatility pricing by explaining arbitrage risk, Journal of Financial Management Strategy, 7(3): 1-24. doi.org/
10.22051/jfm.2019.24672.1977(in Persian).
Nartea, G. V., Ward, B. D., & Yao, L. J. (2011). Idiosyncratic volatility and cross-sectional stock returns in Southeast Asian stock markets, Accounting & Finance, 51(4): 1031-1054.
doi.org/10.1111/j.1467-629X.2010.00384.x
Nartea, G. V., Wu, J., & Liu, Z. (2013). Does idiosyncratic volatility matter in emerging markets? Evidence from China, Journal of International Financial Markets, Institutions and Money, 27: 137-160.
doi.org/10.1016/j.intfin.2013.09.002
Nikusokhan, M., & Fadaei Nejad., M. E. (2018).The investigation of the importance of individual securities idiosyncratic risk: another look at idiosyncratic risk and expected returns, Journal of Financial Management Strategy, 6(1): 1-24. doi.org/
10.22051/jfm.2018.12991.1212 (in Persian).
Polkovnichenko, V. (2005). Household portfolio diversification: a case for rank-dependent preferences, The Review of Financial Studies, 18(4): 1467-1502.
doi.org/10.1093/rfs/hhi033
Pukthuanthong-Le, K., & Visaltanachoti, N. (2009). Idiosyncratic volatility and stock returns: a cross country analysis, Applied Financial Economics, 19(16): 1269-1281.
doi.org/10.1080/09603100802534297
Qadan, M., Kliger, D. & Chen, N. (2019). Idiosyncratic volatility, the VIX and stock returns, The North American Journal of Economics and Finance, 47: 431-441.
doi.org/10.1016/j.najef.2018.06.003
Rosenberg, B., Reid, K., & Lanstein, R. (1985). Persuasive evidence of market inefficiency, The Journal of Portfolio Management, 11(3): 9-16. doi.org/10.3905/jpm.1985.409007
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance, 19(3): pp. 425-442. doi.org/ 10.2307/2977928
Siegel, J. I., Licht, A. N., & Schwartz, S. H. (2011). Egalitarianism and international investment, Journal of Financial Economics, 102(3): 621-642.
doi.org/10.1016/j.jfineco.2011.05.010
Soleimani, I., & ArabSalehi, M. (2019). Determinants of idiosyncratic volatility in listed firms on Tehran Stock Exchange, Journal of Financial Management Perspective, 9(26): pp. 97-119 (in Persian).
Son, N. T., & Nguyen, N. M. (2019). Prospect theory value and idiosyncratic volatility: Evidence from the Korean stock market, Journal of Behavioral and Experimental Finance, 21: 113-122.
doi.org/10.1016/j.jbef.2018.11.006
Spiegel, M. I., & Wang, X. (2005). Cross-sectional variation in stock returns: liquidity and idiosyncratic risk, Working Paper, Yale University.
Stambaugh, R. F., Yu, J., & Yuan, Y. (2015). Arbitrage asymmetry and the idiosyncratic volatility puzzle, The Journal of Finance, 70(5): 1903-1948. doi.org/10.1111/jofi.12286
Wang, L.-H., Lin, C.-H., Kang, J.-H. & Fung, H.-G. (2016). Idiosyncratic volatility and excess return: Evidence from the greater China region, Finance Research Letters, 19: 126-129.
doi.org/10.1016/j.frl.2016.07.003
Wei, S. X., & Zhang, C(2005). . Idiosyncratic risk does not matter: A re-examination of the relationship between average returns and average volatilities, Journal of Banking & Finance, 29(3): 603-621.
doi.org/10.1016/j.jbankfin.2004.05.021
Xu, Y., & Malkiel, B. G. (2003). Investigating the behavior of idiosyncratic volatility, The Journal of Business, 76(4): 613-645. doi.org/ 10.1086/377033