• Financial Distress and Idiosyncratic Volatility: An Empirical Investigation 

      Chen, Jing; Chollete, Lorán (Discussion paper, Working paper, 2006-07)
      We address the twin puzzles of anomalously low returns for high idiosyncratic volatility and high distress risk stocks, documented by Ang, Hodrick, Xing and Zhang (2006) and Campbell, Hilscher and Szilagyi (2005), respectively. ...