4Ang, A., Hodrick, R.J, Xing, Y., Zhang, X., 2006. "The cross-section of volatility and expected returns", Journal of Fi nance, 51, pp.259-299.
5Ang, A., Hodrick, R.J, Xing, Y., Zhang, X.,2009. "High idiosyncratic volatility and low retums: International and further U.S. evidence", Journal of Finance, 91,pp.1-23.
6Bali,Turan G., Nusret Cakici,2006."Idiosyncratic volatility and the cross-section of expected returns", Journal of Financial and Quantitative Analysis, 43,pp.29-58.
7Fama,E.,MacBeth, J., 1973."Risk, return and equilibrium: empirical tests", Journal of Political Economy ,81, pp.607-636.
8Fama,E., French, K., 1992. "The cross-section of expected stock returns", Journal of Finance,48, pp.427-465.
9Fangjian Fu, 2009. "Idiosyncratic risk and the cross-section of expected stock returns", Journal of Financial Economics, 91(1), pp.24-37.
10Fangjian Fu, 2010. "Investor Diversification and the Pricing of Idiosyncratic Risk", Working paper, Singapore Manage ment University.