-
2
-
-
19844375282
-
Asset characteristics and systematic risk
-
Brenner, M. and S. Smidt (1978), 'Asset Characteristics and Systematic Risk', Financial Management, Vol. 7, pp. 33-39.
-
(1978)
Financial Management
, vol.7
, pp. 33-39
-
-
Brenner, M.1
Smidt, S.2
-
3
-
-
84977726602
-
An unconditional asset pricing test and the role of firm-size as an instrumental variable for risk
-
Chan, K.C. and N. Chen (1988), 'An Unconditional Asset Pricing Test and the Role of Firm-size as an Instrumental Variable for Risk', Journal of Finance, Vol. 43, pp. 309-25.
-
(1988)
Journal of Finance
, vol.43
, pp. 309-325
-
-
Chan, K.C.1
Chen, N.2
-
4
-
-
0000346734
-
A subordinated stochastic process model with finite variance for speculative prices
-
Clark, P.K. (1973), 'A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, ' Econometrica, Vol. 41, pp. 135-55.
-
(1973)
Econometrica
, vol.41
, pp. 135-155
-
-
Clark, P.K.1
-
5
-
-
33847554918
-
The valuation of options for alternative stochastic processes
-
Cox, J.C. and S.A. Ross (1976), 'The Valuation of Options for Alternative Stochastic Processes', Journal of Financial Economics, Vol. 3, pp. 145-66.
-
(1976)
Journal of Financial Economics
, vol.3
, pp. 145-166
-
-
Cox, J.C.1
Ross, S.A.2
-
6
-
-
0000756720
-
The stochastic dependence of security price changes and transactions volumes: Implications for the mixture of distributions hypothesis
-
Epps, T.W. and M.L. Epps (1976), 'The Stochastic Dependence of Security Price Changes and Transactions Volumes: Implications for the Mixture of Distributions Hypothesis', Econometria, Vol. 44, pp. 305-21.
-
(1976)
Econometria
, vol.44
, pp. 305-321
-
-
Epps, T.W.1
Epps, M.L.2
-
7
-
-
0002758163
-
Quarterly accounting data: Time series properties and predictive ability results
-
Foster, G. (1977), 'Quarterly Accounting Data: Time Series Properties and Predictive Ability Results', Accounting Review, Vol. 51, pp. 71-,83.
-
(1977)
Accounting Review
, vol.51
, pp. 71-83
-
-
Foster, G.1
-
8
-
-
0002475788
-
On the relationship between systematic risk and the degree of operating and financial leverage
-
Gahlon, J.M. and J.A. Gentry (1982), 'On the Relationship between Systematic Risk and the Degree of Operating and Financial Leverage', Financial Management, Vol. 11, pp. 15-23.
-
(1982)
Financial Management
, vol.11
, pp. 15-23
-
-
Gahlon, J.M.1
Gentry, J.A.2
-
9
-
-
49249145468
-
The valuation of compound options
-
Geske, R. (1979), 'The Valuation of Compound Options', Journal of Financial Economics, Vol. 7, pp. 63-81.
-
(1979)
Journal of Financial Economics
, vol.7
, pp. 63-81
-
-
Geske, R.1
-
10
-
-
84976037533
-
Cross security tests of the mixture of distributions hypothesis
-
Harris, L. (1986), 'Cross Security Tests of the Mixture of Distributions Hypothesis', Journal of Financial and Quantitative Analysis, Vol. 21, pp. 39-46.
-
(1986)
Journal of Financial and Quantitative Analysis
, vol.21
, pp. 39-46
-
-
Harris, L.1
-
11
-
-
0000990912
-
Transactions data tests of the mixture of distributions hypothesis
-
- (1987), 'Transactions Data Tests of the Mixture of Distributions Hypothesis', Journal of Financial and Quantitative Analysis, Vol. 22, pp. 127-42.
-
(1987)
Journal of Financial and Quantitative Analysis
, vol.22
, pp. 127-142
-
-
-
12
-
-
0000731575
-
Trades, quotes, inventories and information
-
Hasbrouck, J. (1988), 'Trades, Quotes, Inventories and Information', Journal of Financial Economics, Vol. 22, pp. 229-52.
-
(1988)
Journal of Financial Economics
, vol.22
, pp. 229-252
-
-
Hasbrouck, J.1
-
13
-
-
84977728940
-
Measuring the information content of stock trades
-
- (1991), 'Measuring the Information Content of Stock Trades', Journal of Finance, Vol. 46, pp. 179-207.
-
(1991)
Journal of Finance
, vol.46
, pp. 179-207
-
-
-
15
-
-
84919214538
-
The relation between price changes and trading volume: A survey
-
Karpoff, J.M. (1987), 'The Relation Between Price Changes and Trading Volume: A Survey', The Journal of Financial and Quantitative Analysis, Vol. 22, pp. 109-26.
-
(1987)
Journal of Financial and Quantitative Analysis
, vol.22
, pp. 109-126
-
-
Karpoff, J.M.1
-
16
-
-
84986466166
-
Costly short sales and the correlation of returns with volume
-
- (1988), 'Costly Short Sales and the Correlation of Returns with Volume', Journal of Financial Research, Vol. 11, pp. 173-88.
-
(1988)
Journal of Financial Research
, vol.11
, pp. 173-188
-
-
-
17
-
-
84977718808
-
Heteroskedasticity in stock return data: Volume versus GARCH effects
-
Lamoureux, C.G. and W.D. Lastrapes (1990), 'Heteroskedasticity in Stock Return Data: Volume Versus GARCH Effects', The Journal of Finance, Vol. 45, pp. 221-29.
-
(1990)
Journal of Finance
, vol.45
, pp. 221-229
-
-
Lamoureux, C.G.1
Lastrapes, W.D.2
-
18
-
-
84959716532
-
On the association between leverage and beta
-
Lev, B. (1974), 'On the Association Between Leverage and Beta', Journal of Financial and Quantitative Analysis, Vol. 9, pp. 627-42.
-
(1974)
Journal of Financial and Quantitative Analysis
, vol.9
, pp. 627-642
-
-
Lev, B.1
-
19
-
-
84974379086
-
The impact of the degrees of operating and financial leverage on systematic risk of common stock
-
Mandelker, G.N. and S.G. Rhee (1984), 'The Impact of the Degrees of Operating and Financial Leverage on Systematic Risk of Common Stock', Journal of Financial and Quantitative Analysis, Vol. 19, pp. 45-57.
-
(1984)
Journal of Financial and Quantitative Analysis
, vol.19
, pp. 45-57
-
-
Mandelker, G.N.1
Rhee, S.G.2
-
20
-
-
84916929634
-
Risk, uncertainty, and divergence of opinion
-
Miller, E.M. (1977), 'Risk, Uncertainty, and Divergence of Opinion', The Journal of Finance, Vol. 32, pp. 1151-68.
-
(1977)
Journal of Finance
, vol.32
, pp. 1151-1168
-
-
Miller, E.M.1
-
21
-
-
84971972619
-
A direct test of the mixture of distributions hypothesis: Measuring the daily flow of information
-
Richardson, M. and T. Smith (1994), 'A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of Information', The Journal of Financial and Quantative Analysis, Vol. 29, pp. 101-16.
-
(1994)
Journal of Financial and Quantative Analysis
, vol.29
, pp. 101-116
-
-
Richardson, M.1
Smith, T.2
-
22
-
-
0000278396
-
The dependence of prices and volume
-
Rogalski, R.J. (1978), 'The Dependence of Prices and Volume', The Review of Economics and Statistics, Vol. 36, pp. 268-74.
-
(1978)
Review of Economics and Statistics
, vol.36
, pp. 268-274
-
-
Rogalski, R.J.1
-
24
-
-
38249030616
-
An empirical analysis of the stock price-volume relationship
-
Smirlock, M. and L. Starks (1988), 'An Empirical Analysis of the Stock Price-Volume Relationship', Journal of Banking and Finance, Vol. 12, pp. 31-41.
-
(1988)
Journal of Banking and Finance
, vol.12
, pp. 31-41
-
-
Smirlock, M.1
Starks, L.2
-
25
-
-
0000658999
-
The price variability- volume relationship on speculative markets
-
Tauchen, G. and M. Pitts (1983), 'The Price Variability - Volume Relationship on Speculative Markets', Econometrica, Vol. 51, pp. 485-505.
-
(1983)
Econometrica
, vol.51
, pp. 485-505
-
-
Tauchen, G.1
Pitts, M.2
-
26
-
-
0000095552
-
A heteroscedastic-consistent covariance matrix estimator and a direct test for heteroscedasticity
-
White, H. (1980), 'A Heteroscedastic-Consistent Covariance Matrix Estimator and a Direct Test for Heteroscedasticity', Econometrica, Vol. 48, pp. 817-38.
-
(1980)
Econometrica
, vol.48
, pp. 817-838
-
-
White, H.1
|