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Has Idiosyncratic Volatility Increased? Not in Recent Times

Mardy Chiah, Philip Gharghori, Angel Zhong

Critical Finance Review, 2023. DOI 10.1561/104.00000127

Has this study been replicated?

This paper is itself a replication attempt. The study it set out to replicate is listed below.

Study replicated

• Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk, Campbell et al. (2001). The Journal of Finance. View paper

Cite this record

Chiah, M., Gharghori, P., & Zhong, A. (2023). Has Idiosyncratic Volatility Increased? Not in Recent Times. Critical Finance Review, 12(1-4), 125–170. https://doi.org/10.1561/104.00000127

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