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Divatopolous, D., Doran, J. and Peterson, P. (2008) The Information Content in Implied Idiosyncratic Volatility and the Cross-Section of Stock Returns: Evidence from the Options Markets. Journal of Futures Markets, 28, 1013-1116.
https://doi.org/10.1002/fut.20327

has been cited by the following article:

• TITLE: Patterns and Pricing of Idiosyncratic Volatility in the French Stock Market

  AUTHORS: Zhentao Liu, Gilbert V. Nartea, Ji Wu

  KEYWORDS: Idiosyncratic Volatility, Regime Switch Model, Asset Pricing, France

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.1, January 29, 2018

  ABSTRACT: We investigate the time series behavior of idiosyncratic volatility and its role in asset pricing in France. We find that both aggregate idiosyncratic and market volatility exhibit regime switching behavior similar to that in the U.S. and other developed countries. Furthermore, we find a marginally significant negative IVOL effect in the French stock market. We add new evidence to the mounting results questioning the ubiquity of the IVOL effect which highlights the importance of country verification of so called anomalies in the US, even in developed markets.