{"id":"https://openalex.org/W4399497596","doi":"https://doi.org/10.1287/mnsc.2022.04140","title":"On the Robustness of Idiosyncratic Volatility Effect","display_name":"On the Robustness of Idiosyncratic Volatility Effect","publication_year":2024,"publication_date":"2024-06-10","ids":{"openalex":"https://openalex.org/W4399497596","doi":"https://doi.org/10.1287/mnsc.2022.04140"},"language":"en","primary_location":{"id":"doi:10.1287/mnsc.2022.04140","is_oa":false,"landing_page_url":"https://doi.org/10.1287/mnsc.2022.04140","pdf_url":null,"source":{"id":"https://openalex.org/S33323087","display_name":"Management Science","issn_l":"0025-1909","issn":["0025-1909","1526-5501"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310315699","host_organization_name":"Institute for Operations Research and the Management Sciences","host_organization_lineage":["https://openalex.org/P4310315699"],"host_organization_lineage_names":["Institute for Operations Research and the Management Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5016999238","display_name":"Alexander Barinov","orcid":"https://orcid.org/0000-0003-1199-3274"},"institutions":[{"id":"https://openalex.org/I103635307","display_name":"University of California, Riverside","ror":"https://ror.org/03nawhv43","country_code":"US","type":"education","lineage":["https://openalex.org/I103635307"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Alexander Barinov","raw_affiliation_strings":["School of Business, University of California Riverside, Riverside, California 92521"],"affiliations":[{"raw_affiliation_string":"School of Business, University of California Riverside, Riverside, California 92521","institution_ids":["https://openalex.org/I103635307"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5016999238"],"corresponding_institution_ids":["https://openalex.org/I103635307"],"apc_list":null,"apc_paid":null,"fwci":0.536,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.65931614,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":96,"max":99},"biblio":{"volume":"71","issue":"3","first_page":"2565","last_page":"2582"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9962000250816345,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9937000274658203,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.8232812285423279},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5792137384414673},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5514043569564819},{"id":"https://openalex.org/keywords/stock-exchange","display_name":"Stock exchange","score":0.5420260429382324},{"id":"https://openalex.org/keywords/robustness","display_name":"Robustness (evolution)","score":0.4992244243621826},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.4656337797641754},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.424385666847229},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.4128653109073639},{"id":"https://openalex.org/keywords/monetary-economics","display_name":"Monetary economics","score":0.40503132343292236},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.22732728719711304}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.8232812285423279},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5792137384414673},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5514043569564819},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.5420260429382324},{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.4992244243621826},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4656337797641754},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.424385666847229},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.4128653109073639},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.40503132343292236},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.22732728719711304},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1287/mnsc.2022.04140","is_oa":false,"landing_page_url":"https://doi.org/10.1287/mnsc.2022.04140","pdf_url":null,"source":{"id":"https://openalex.org/S33323087","display_name":"Management Science","issn_l":"0025-1909","issn":["0025-1909","1526-5501"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310315699","host_organization_name":"Institute for Operations Research and the Management Sciences","host_organization_lineage":["https://openalex.org/P4310315699"],"host_organization_lineage_names":["Institute for Operations Research and the Management Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Management Science","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:inm:ormnsc:v:71:y:2025:i:3:p:2565-2582","is_oa":false,"landing_page_url":"http://doi.org/10.1287/mnsc.2022.04140","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":26,"referenced_works":["https://openalex.org/W1995409889","https://openalex.org/W1995834279","https://openalex.org/W2063918865","https://openalex.org/W2104795328","https://openalex.org/W2111730646","https://openalex.org/W2113208252","https://openalex.org/W2117178635","https://openalex.org/W2131177033","https://openalex.org/W2136120210","https://openalex.org/W2160275010","https://openalex.org/W2182051792","https://openalex.org/W3121128063","https://openalex.org/W3121401171","https://openalex.org/W3122225907","https://openalex.org/W3122244915","https://openalex.org/W3122516690","https://openalex.org/W3122851685","https://openalex.org/W3123379704","https://openalex.org/W3125206904","https://openalex.org/W3125951730","https://openalex.org/W3126663409","https://openalex.org/W3168562670","https://openalex.org/W4211134865","https://openalex.org/W4237239309","https://openalex.org/W4296474872","https://openalex.org/W4362591374"],"related_works":["https://openalex.org/W3122176587","https://openalex.org/W3180933049","https://openalex.org/W4390671392","https://openalex.org/W1588152617","https://openalex.org/W2502484543","https://openalex.org/W1578497431","https://openalex.org/W4230495598","https://openalex.org/W3129005336","https://openalex.org/W594182851","https://openalex.org/W2121246931"],"abstract_inverted_index":{"The":[0,36,72,92],"idiosyncratic":[1,37],"volatility":[2,38],"(IVol)":[3],"effect":[4,39,52,74],"is":[5,23,40],"robust":[6],"to":[7,11,26,43,79],"restricting":[8],"the":[9,19,29,46,50],"sample":[10,30],"New":[12],"York":[13],"Stock":[14],"Exchange":[15],"(NYSE)":[16],"firms":[17],"(once":[18],"proper":[20],"listing":[21],"indicator":[22],"used)":[24],"and":[25,33,59,95],"excluding":[27],"from":[28,45],"small,":[31],"illiquid,":[32],"low-price":[34],"stocks.":[35],"also":[41,75],"unlikely":[42],"stem":[44],"short-run":[47],"reversal,":[48],"as":[49],"IVol":[51,73],"stays":[53],"significant":[54],"for":[55,62],"about":[56],"six":[57],"months":[58],"seems":[60],"stronger":[61],"high":[63],"turnover":[64],"firms,":[65],"which":[66],"do":[67],"not":[68,77],"exhibit":[69],"short-term":[70],"reversal.":[71],"does":[76],"seem":[78],"weaken":[80],"postpublication.":[81],"This":[82],"paper":[83],"was":[84],"accepted":[85],"by":[86],"Lukas":[87],"Schmid,":[88],"finance.":[89],"Supplemental":[90],"Material:":[91],"online":[93],"appendix":[94],"data":[96],"files":[97],"are":[98],"available":[99],"at":[100],"https://doi.org/10.1287/mnsc.2022.04140":[101],".":[102]},"counts_by_year":[{"year":2026,"cited_by_count":1}],"updated_date":"2026-04-02T15:55:50.835912","created_date":"2025-10-10T00:00:00"}
