نقش ریسک دنباله چپ در توضیح معمای نوسان‌پذیری غیرسیستماتیک

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Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time Series Effects. Journal of Financial Markets, 5(1), 31–56.

Ang, A., Chen, J., & Xing, Y. (2006). Downside Risk. The Review of Financial Studies, 19(4), 1191-1239.

Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2009). High Idiosyncratic Volatility and Low Returns: International and Futher U.S. Evidence. Journal of Financial Economics, 91(1), 1-23.

Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The Cross‐Section of Volatility and Expected Returns. The Journal of Finance, 61(1), 259-299.

Asness, C., & Frazzini, A. (2013). The Devil in HML’s Details. Journal of Portfolio Management, 39 (1), 49–68.

Atilgan, Y., Bali, T. G., Demirtas, K. O., & Gunaydin, A. D. (2020). Left-Tail Momentum:Underreaction to Bad News, Costly Arbitrage and Equity Returns. Journal of Financial Economics, 135(3), 725-753.

Bali, T., G., Bodnaruk, A., Scherbina, A., & Tang, Y. (2018). Unusual News Flow and the Cross Section of Stock Returns. Management Science, 64(9), 4137-4155.

Bali, T. G., Brown, S. J., Murray, S., & Tang, Y. (2017). A Lottery-DemandBased Explanation of the Beta Anomaly. Journal of Financial and Quantitative Analysis, 52(6), 2369-2397.

Bali, T. G., & Cakici, N. (2008). Idiosyncratic Volatility and the Cross Section of Expected Returns. Journal of Financial and Quantitative Analysis, 43 (1), 29-58.

 Bali, T., Cakici, N., & Whitelaw, R. F. (2014). Hybrid Tail Risk and Expected Stock Returns: When Does The Tail Wag the Dog? Review of Asset Pricing Studies, 4(2), 206–246.

Bali, T. G., Demirtas, K. O., & Levy, H. (2009). Is There an Intertemporal Relation between Downside Risk and Expected Returns? Journal of Financial and Quantitative Analysis, 44(4), 883-909.

Ball, R., Gerakos, J., Linnainmaa, J., & Nikolaev, V. (2016). Accruals, Cash Flow, and Operating Profitability in the Cross Section of Stock Returns. Journal of Financial Economics, 121(1), 28-45.

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Blair, K. S., Otero, M., Teng, C., Jacobs, M., Odenheimer, S., Pine, D. S., & Blair, R. J. R. (2013). Dissociable Roles of Ventromedial Prefrontal Cortex (Vmpfc) and Rostral Anterior Cingulate Cortex (Racc) In Value Representation and Optimistic Bias. Neuroimage, 78 (1), 103-110.

Cao, V. N. (2015). What Explains the Value Premium? The Case of Adjustment Costs, Operating Leverage and Financial Leverage. Journal of Banking and Finance, 59 (1), 350–366.

Chabi-Yo, F., & Yang, J. (2010). Default Risk, Idiosyncratic Coskewness and Equity Returns.  Idiosyncratic Coskewness And Equity Returns (March 16, 2010). Resived from https://papers.ssrn.com/sol3/ papers.cfm? abstract _id=1572661.

Chen, Z., & Petkova, R. (2012). Does Idiosyncratic Volatility Proxy for Risk Exposure? The Review of Financial Studies, 25(9), 2745-2787.

Fama, E. F., & French, K. R. (1992). The Cross‐Section of Expected Stock Returns. The Journal of Finance, 47 (2), 427-465.

Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56.

Fama, E.F., & French, K.R. (2015). A Five-Factor Asset Pricing Model. Journal of Financial Economics, 116, 1–22.

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Han, Y., & Lesmond, D. (2011). Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility. The Review of Financial Studies, 24(5), 1590-1629.

Harvey, C. R., & Siddique, A. (2000). Conditional Skewness in Asset Pricing Tests. Journal of Finance, 55 (3), 1263- 1295.

Hou, K., & Loh, R. (2016). Have We Solved The Idiosyncratic Volatility Puzzle? Journal of Financial Economics, 121 (1), 167–194.

Kelly, B., & Jiang, H. (2014). Tail Risk and Asset Prices. Review of Financial Studies, 27(1), 28412871.

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Nikoo, H., Ebrahimi, K., & Jalali, F. (2020). The Relationship between Investor Sentiment and Idiosyncratic Risk with Stock Mispricing: Evidence from Tehran Stock Exchange. Journal of Financial Management Strategy, 28(1), 65-85. [In Persian]

Sharot, T., Korn, C. W., & Dolan, R. J. (2011). How Unrealistic Optimism is Maintained in the Face of Reality. Nature Neuroscience, 14(11), 1475- 1479.

Zhen, F., Ruan, X., & Zhang, J. E. (2020). Left-Tail Risk in China. Pacific-Basin Finance Journal, 63 (1), 101-391.

Arabmazar Yazdi, M., Badri, A., Davallou, M. (2016). Idiosyncratic Risk Pricing: Evidence from Tehran Stock Exchenge. Empirical Studies in Financial Accounting, 12 (47), 23-46. [In Persian].

Asima, M., Ayvazloo, R. (2020). Semi-Parametric Model of Idiosyncratic Volatility Pricing By Explaining the Arbitrage Risk. Financial Research Journal, 22 (3), 343-365. [In Persian]

Davaloo, M., & Fartookzadeh, H. (2016). Cross-Section Return Changes: Liquidity and Unsystematic Risk Effects. Journal of Accounting Knowledge, 7 (26), 85-106. [In Persian]

Mirzaie, M., Khani, A., & Botshekan, M. (2020). Developing Multifactor Asset Pricing Models Using Firm's Life Cycle. Financial Research Journal, 21(4), 545-569. [In Persian]

Shahrzadi, M., & Foroghi, D. (2020). Individual Investors’ Attention to Left Tail Risk. Asset Management and Finance, 29 (2), 69-88. [In Persian]

Shahrzadi, M., Foroghi, D., & Amiri, H. (2020). The Effect of Left Tail Risk on Expected Excess Returns and Its Consequences on the Persistence of Left Tail Returns, Financial Research Journal, 21(4), 593-611. [In  Persian]

Shekarkhah, J., Bolu, G., & Haghighat, M. (2018). The Impact of Higher Moments and Nonsystematic Volatility on Future Stock Return Using Fama-Macbeth Model. Empirical Studies in Financial Accounting, 14 (56),109-133. [In Persian]

Soleyman, I., & Arabsalehi, M. (2019). Determinants of Idiosyncratic Volatility of Stock Returns Listed Firms in Tehran Stock Exchange. Financial Management Perspective, 9 (26), 97-119. [In Persian]