-
1
-
-
0000864173
-
Frictions in the Trading Process and the Estimation of Systematic Risk
-
August
-
Cohen, Kalman., Gabriel Hawawini., Steven Maier., Robert Schwartz., and David Whitcomb., Frictions in the Trading Process and the Estimation of Systematic Risk. Journal of Financial Economics 12(August 1983): 263-278.
-
(1983)
Journal of Financial Economics
, vol.12
, pp. 263-278
-
-
Cohen, K.1
Hawawini, G.2
Maier, S.3
Schwartz, R.4
Whitcomb, D.5
-
2
-
-
84977720952
-
The Price Effect of Option Introduction
-
June
-
Conrad, Jennifer., The Price Effect of Option Introduction. Journal of Finance 44(June 1989): 487-498.
-
(1989)
Journal of Finance
, vol.44
, pp. 487-498
-
-
Conrad, J.1
-
3
-
-
0002165527
-
Information, Futures Prices, and Stabilizing Speculation
-
February
-
Danthine, Jean-Pierre., Information, Futures Prices, and Stabilizing Speculation. Journal of Economic Theory 17(February 1978): 79-98.
-
(1978)
Journal of Economic Theory
, vol.17
, pp. 79-98
-
-
Danthine, J.-P.1
-
4
-
-
84993917413
-
Corporate Events, Trading Activity, and the Estimation of Systematic Risk: Evidence from Equity Offerings and Share Repurchases
-
December
-
Denis, David., and Gregory B. Kadlec., Corporate Events, Trading Activity, and the Estimation of Systematic Risk: Evidence from Equity Offerings and Share Repurchases. Journal of Finance 49(December 1994): 1787-1811.
-
(1994)
Journal of Finance
, vol.49
, pp. 1787-1811
-
-
Denis, D.1
Kadlec, G.B.2
-
5
-
-
33749638253
-
Risk Measurement When Shares are Subject to Infrequent Trading
-
June
-
Dimson, Elroy., Risk Measurement When Shares are Subject to Infrequent Trading. Journal of Financial Economics 7(June 1979): 197-226.
-
(1979)
Journal of Financial Economics
, vol.7
, pp. 197-226
-
-
Dimson, E.1
-
6
-
-
84978552226
-
Futures Trading and Cash Market Volatility: Stock Index and Interest Rate Futures
-
August
-
Edwards, Franklin R., Futures Trading and Cash Market Volatility: Stock Index and Interest Rate Futures. Journal of Futures Markets 8(August 1988): 421-439.
-
(1988)
Journal of Futures Markets
, vol.8
, pp. 421-439
-
-
Edwards, F.R.1
-
7
-
-
0042334065
-
Risk Measurement When Shares are Subject to Infrequent Trading: Comment
-
August
-
Fowler, David J., and C. Harvey Rorke., Risk Measurement When Shares are Subject to Infrequent Trading: Comment. Journal of Financial Economics 12(August 1983): 279-283.
-
(1983)
Journal of Financial Economics
, vol.12
, pp. 279-283
-
-
Fowler, D.J.1
Harvey Rorke, C.2
-
8
-
-
0012850247
-
The Changing Character of Stock Market Liquidity
-
Spring
-
Gammill, James F., and Andre F. Perold., The Changing Character of Stock Market Liquidity. Journal of Portfolio Management 15(Spring 1989): 13-18.
-
(1989)
Journal of Portfolio Management
, vol.15
, pp. 13-18
-
-
Gammill, J.F.1
Perold, A.F.2
-
9
-
-
0005290222
-
Program Trading and Market Volatility: A Report on Interday Relationships
-
JulyAugust
-
Grossman, Sanford J., Program Trading and Market Volatility: A Report on Interday Relationships. Financial Analysts Journal 44(JulyAugust 1988): 18-28.
-
(1988)
Financial Analysts Journal
, vol.44
, pp. 18-28
-
-
Grossman, S.J.1
-
10
-
-
0001272649
-
An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies
-
July
-
Grossman, Sanford J., An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies. Journal of Business 61(July 1988): 275-298.
-
(1988)
Journal of Business
, vol.61
, pp. 275-298
-
-
Grossman, S.J.1
-
11
-
-
84977725243
-
Liquidity and Market Structure
-
July
-
Grossman, Sanford J., and Merton Miller., Liquidity and Market Structure. Journal of Finance 43(July 1988): 617-633.
-
(1988)
Journal of Finance
, vol.43
, pp. 617-633
-
-
Grossman, S.J.1
Miller, M.2
-
12
-
-
0001685353
-
The Effect of the Firm’s Capital Structure on the Systematic Risk of Common Stocks
-
May
-
Hamada, Robert S., The Effect of the Firm’s Capital Structure on the Systematic Risk of Common Stocks. Journal of Finance 27(May 1972): 435-452.
-
(1972)
Journal of Finance
, vol.27
, pp. 435-452
-
-
Hamada, R.S.1
-
13
-
-
84977715453
-
S&P 500 Cash Stock Price Volatilities
-
December
-
Harris, Lawrence., S&P 500 Cash Stock Price Volatilities. Journal of Finance 44(December 1989): 1155-1175.
-
(1989)
Journal of Finance
, vol.44
, pp. 1155-1175
-
-
Harris, L.1
-
15
-
-
84919214538
-
The Relation Between Price Changes and Trading Volume: A Survey
-
March
-
Karpoff, Jonathan M., The Relation Between Price Changes and Trading Volume: A Survey. Journal of Financial and Quantitative Analysis 22(March 1987): 109-123.
-
(1987)
Journal of Financial and Quantitative Analysis
, vol.22
, pp. 109-123
-
-
Karpoff, J.M.1
-
16
-
-
85025724501
-
On Estimating the Expected Return on the Market: An Exploratory Investigation
-
December
-
Merton, Robert C., On Estimating the Expected Return on the Market: An Exploratory Investigation. Journal of Financial Economics 8(December 1980): 323-361.
-
(1980)
Journal of Financial Economics
, vol.8
, pp. 323-361
-
-
Merton, R.C.1
-
17
-
-
0000799280
-
The Variability of the Market Factor of the New York Stock Exchange
-
July
-
Officer, Robert R., The Variability of the Market Factor of the New York Stock Exchange. Journal of Business 46(July 1973): 434-453.
-
(1973)
Journal of Business
, vol.46
, pp. 434-453
-
-
Officer, R.R.1
-
18
-
-
0039794695
-
The Effect of Futures Trading on Cash Market Volatility: Evidence from the London Stock Exchange
-
Robinson, Gary., The Effect of Futures Trading on Cash Market Volatility: Evidence from the London Stock Exchange. Review of Futures Markets 13(1994): 429-452.
-
(1994)
Review of Futures Markets
, vol.13
, pp. 429-452
-
-
Robinson, G.1
-
19
-
-
0141866991
-
Estimating Betas from Nonsyn-chronous Data
-
December
-
Scholes, Myron., and Joseph Williams., Estimating Betas from Nonsyn-chronous Data. Journal of Financial Economics 5(December 1977): 309-327.
-
(1977)
Journal of Financial Economics
, vol.5
, pp. 309-327
-
-
Scholes, M.1
Williams, J.2
-
20
-
-
84977707955
-
Why Does Stock Market Volatility Change Over Time
-
December
-
Schwert, G. William., Why Does Stock Market Volatility Change Over Time Journal of Finance 44(December 1989): 1115-1153.
-
(1989)
Journal of Finance
, vol.44
, pp. 1115-1153
-
-
Schwert, G.W.1
-
21
-
-
0001907981
-
Options Markets and Stock Return Volatility
-
June
-
Skinner, Douglas J., Options Markets and Stock Return Volatility. Journal of Financial Economics 23(June 1989): 61-78.
-
(1989)
Journal of Financial Economics
, vol.23
, pp. 61-78
-
-
Skinner, D.J.1
-
22
-
-
84934349023
-
Informational Externalities and Welfare-Reducing Speculation
-
December
-
Stein, Jeremy C., Informational Externalities and Welfare-Reducing Speculation. Journal of Political Economy 95(December 1987): 1123-1145.
-
(1987)
Journal of Political Economy
, vol.95
, pp. 1123-1145
-
-
Stein, J.C.1
|