Ang, A., Hodrick, R.J., Xing, Y., Zhang, X., (2006). The cross-section of volatility and expected returns. J. Financ. 51, 259â299.
Ang, A., Hodrick, R.J., Xing, Y., Zhang, X., (2009). High idiosyncratic volatility and low returns: International and further u.s. evidence. J. Financ. Econ. 91(1), 1â23.
Badri, Ahmad, Arabmazar Yazdi, Mohammad, Davallou, Maryam, (2014). Higher Moments and Idiosyncratic Volatility Puzzle. Quarterly Journal of Investment Knowledge, 3(15).
Davallou, Maryam, Rajabi, Azim, (2014). An Anatomic Study of the Relationship between Stock Return and Idiosyncratic Volatility Evidences from Tehran Stock Exchange. Quarterly Journal of Asset Management and Financing, 3(3).
Fama, E., French, K.R., (1992). The cross-section of expected stock returns. J. Financ. 46, 427â466.
Fama, E., French, K.R., (1996). Multifactor explanation of asset pricing anomalies. J. Financ. 51, 55â84.
Fama, E.F., French, K.R., (1993). Common risk factors in the returns on stocks and bonds. J. Financ. Econ. 33, 3â56.
Fama, E.F., French, K.R., (2006). Profitability, investment and average returns. J. Financ. Econ. 82(3), 491â518.
Fama, E.F., French, K.R., (2014). A five-factor asset pricing model. J. Financ. Econ. http://dx.doi.org/10.1016/j.jfineco.10.010.
Fama, E.F., MacBeth, J.D., (1973). Risk, return, and equilibrium: empirical tests. J. Polit. Econ. 71, 607â636
Juliana Malagon, David Moreno Rosa Rodriguez (2015). The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?. Journal of Banking & Finance, 60: 224â238
)