메뉴 건너뛰기




Volumn 62, Issue 5, 2007, Pages 2521-2552

Price convexity and skewness

Author keywords

[No Author keywords available]

Indexed keywords


EID: 34548500118     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2007.01283.x     Document Type: Article
Times cited : (79)

References (44)
  • 1
    • 0033270691 scopus 로고    scopus 로고
    • Asymmetric volatility and risk in equity markets
    • and.
    • Bekaert, Geert, and Guojun Wu, 2000, Asymmetric volatility and risk in equity markets, Review of Financial Studies 13, 1 42.
    • (2000) Review of Financial Studies , vol.13 , pp. 1-42
    • Bekaert, G.1    Wu, G.2
  • 3
    • 0001062383 scopus 로고
    • Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economics Statistics Section
    • Black, Fischer, 1976, Studies of stock price volatility changes, Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economics Statistics Section, 177 181.
    • (1976) Studies of Stock Price Volatility Changes , pp. 177-181
    • Black, F.1
  • 5
    • 0001866008 scopus 로고
    • Bubbles, rational expectations, and financial markets
    • and., in. P. Wachtel, ed. Lexington Books, Lexington, MA).
    • Blanchard, Oliver J., and Mark W. Watson, 1982, Bubbles, rational expectations, and financial markets, in P. Wachtel, ed Crises in Economic and Financial Structure (Lexington Books, Lexington, MA).
    • (1982) Crises in Economic and Financial Structure
    • Blanchard, O.J.1    Watson, M.W.2
  • 6
    • 0000069353 scopus 로고    scopus 로고
    • Alternative factor specifications, security characteristics, and the cross-section of expected stock returns
    • and.
    • Brennan, Michael J., Tarun Chordia, and Avanidhar Subrahmanyam, 1998, Alternative factor specifications, security characteristics, and the cross-section of expected stock returns, Journal of Financial Economics 49, 345 373.
    • (1998) Journal of Financial Economics , vol.49 , pp. 345-373
    • Brennan, M.J.1    Chordia, T.2    Subrahmanyam, A.3
  • 8
    • 43549117863 scopus 로고
    • No news is good news: An asymmetric model of changing volatility in stock returns
    • and.
    • Campbell, John Y., and Ludger Hentschel, 1992, No news is good news: An asymmetric model of changing volatility in stock returns, Journal of Financial Economics 31, 281 318.
    • (1992) Journal of Financial Economics , vol.31 , pp. 281-318
    • Campbell, J.Y.1    Hentschel, L.2
  • 9
    • 0002519023 scopus 로고    scopus 로고
    • Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk
    • and.
    • Campbell, John Y., Martin Lettau, Burton G. Malkiel, and Yexiao Xu, 2001, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, Journal of Finance 56, 1 43.
    • (2001) Journal of Finance , vol.56 , pp. 1-43
    • Campbell, J.Y.1    Lettau, M.2    Malkiel, B.G.3    Xu, Y.4
  • 10
    • 0036113435 scopus 로고    scopus 로고
    • Sidelined investors, trading-generated news, and security returns
    • and.
    • Cao, H. Henry, Joshua D. Coval, and David Hirshleifer, 2002, Sidelined investors, trading-generated news, and security returns, Review of Financial Studies 15, 615 648.
    • (2002) Review of Financial Studies , vol.15 , pp. 615-648
    • Cao, H.H.1    Coval, J.D.2    Hirshleifer, D.3
  • 12
    • 0000218139 scopus 로고    scopus 로고
    • Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices
    • and.
    • Chen, Joseph, Harrison Hong, and Jeremy C. Stein, 2001, Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices, Journal of Financial Economics 61, 345 381.
    • (2001) Journal of Financial Economics , vol.61 , pp. 345-381
    • Chen, J.1    Hong, H.2    Stein, J.C.3
  • 13
  • 14
    • 49049143130 scopus 로고
    • The stochastic behavior of common stock variance - Value, leverage and interest rate effects
    • Christie, Andrew A., 1982, The stochastic behavior of common stock variance - Value, leverage and interest rate effects, Journal of Financial Economics 10, 407 432.
    • (1982) Journal of Financial Economics , vol.10 , pp. 407-432
    • Christie, A.A.1
  • 15
  • 16
    • 0001897473 scopus 로고    scopus 로고
    • Earnings management to exceed thresholds
    • and.
    • Degeorge, Francois, Jayendu Patel, and Richard Zeckhauser, 1999, Earnings management to exceed thresholds, Journal of Business 72, 1 33.
    • (1999) Journal of Business , vol.72 , pp. 1-33
    • Degeorge, F.1    Patel, J.2    Zeckhauser, R.3
  • 17
    • 0001675669 scopus 로고
    • Constraints on short-selling and asset price adjustment to private information
    • and.
    • Diamond, Douglas W., and Robert E. Verrecchia, 1987, Constraints on short-selling and asset price adjustment to private information, Journal of Financial Economics 18, 277 311.
    • (1987) Journal of Financial Economics , vol.18 , pp. 277-311
    • Diamond, D.W.1    Verrecchia, R.E.2
  • 19
    • 23944509011 scopus 로고    scopus 로고
    • Earnings management? the shapes of the frequency distributions of earnings metrics are not evidence ipso facto
    • and.
    • Durtschi, Cindy, and Peter Easton, 2005, Earnings management? The shapes of the frequency distributions of earnings metrics are not evidence ipso facto, Journal of Accounting Research 43, 557 592.
    • (2005) Journal of Accounting Research , vol.43 , pp. 557-592
    • Durtschi, C.1    Easton, P.2
  • 20
    • 33645127611 scopus 로고    scopus 로고
    • How do different types of investors react to new earnings information?
    • Ekholm, Anders G., 2006, How do different types of investors react to new earnings information? Journal of Business Finance and Accounting 33, 127 144.
    • (2006) Journal of Business Finance and Accounting , vol.33 , pp. 127-144
    • Ekholm, A.G.1
  • 21
    • 32944463339 scopus 로고    scopus 로고
    • An explanation for negative skewness in stock returns
    • and.
    • Ekholm, Anders G., and Daniel Pasternack, 2005, An explanation for negative skewness in stock returns, European Journal of Finance 11, 511 529.
    • (2005) European Journal of Finance , vol.11 , pp. 511-529
    • Ekholm, A.G.1    Pasternack, D.2
  • 22
    • 0346207692 scopus 로고    scopus 로고
    • Market efficiency, long-term returns, and behavioral finance
    • Fama, Eugene, 1998, Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics 49, 283 306.
    • (1998) Journal of Financial Economics , vol.49 , pp. 283-306
    • Fama, E.1
  • 24
    • 0000774157 scopus 로고    scopus 로고
    • Stocks are special too: An analysis of the equity lending market
    • and.
    • Geczy, Christopher C., David K. Musto, and Adam V. Reed, 2002, Stocks are special too: An analysis of the equity lending market, Journal of Financial Economics 66, 241 269.
    • (2002) Journal of Financial Economics , vol.66 , pp. 241-269
    • Geczy, C.C.1    Musto, D.K.2    Reed, A.V.3
  • 25
    • 21344493808 scopus 로고
    • Differences of opinion make a horse race
    • and.
    • Harris, Milton, and Artur Raviv, 1993, Differences of opinion make a horse race, Review of Financial Studies 6, 473 506.
    • (1993) Review of Financial Studies , vol.6 , pp. 473-506
    • Harris, M.1    Raviv, A.2
  • 26
    • 84959812265 scopus 로고
    • Speculation investor behavior in a stock market with heterogeneous expectations
    • and.
    • Harrison, J. Michael, and David M. Kreps, 1978, Speculation investor behavior in a stock market with heterogeneous expectations, Quarterly Journal of Economics 92, 323 336.
    • (1978) Quarterly Journal of Economics , vol.92 , pp. 323-336
    • Harrison, J.M.1    Kreps, D.M.2
  • 28
    • 0040186059 scopus 로고    scopus 로고
    • Conditional skewness in asset pricing tests
    • and.
    • Harvey, Campbell R., and Akhtar Siddique, 2000, Conditional skewness in asset pricing tests, Journal of Finance 55, 1263 1295.
    • (2000) Journal of Finance , vol.55 , pp. 1263-1295
    • Harvey, C.R.1    Siddique, A.2
  • 29
    • 33745714844 scopus 로고    scopus 로고
    • Asset float and speculative bubbles
    • and.
    • Hong, Harrison, Jose Scheinkman, and Wei Xiong, 2006, Asset float and speculative bubbles, Journal of Finance 61, 1073 1117.
    • (2006) Journal of Finance , vol.61 , pp. 1073-1117
    • Hong, H.1    Scheinkman, J.2    Xiong, W.3
  • 30
    • 0038176749 scopus 로고    scopus 로고
    • Differences of opinions, short-sales constraints, and market crashes
    • and.
    • Hong, Harrison, and Jeremy C. Stein, 2003, Differences of opinions, short-sales constraints, and market crashes, Review of Financial Studies 16, 487 525.
    • (2003) Review of Financial Studies , vol.16 , pp. 487-525
    • Hong, H.1    Stein, J.C.2
  • 31
    • 84977408304 scopus 로고
    • Heterogeneous expectations, restrictions on short sales, and equilibrium asset prices
    • Jarrow, Robert, 1980, Heterogeneous expectations, restrictions on short sales, and equilibrium asset prices, Journal of Finance 35, 1105 1113.
    • (1980) Journal of Finance , vol.35 , pp. 1105-1113
    • Jarrow, R.1
  • 32
    • 85141101504 scopus 로고
    • Differential interpretation of public signals and trade in speculative markets
    • and.
    • Kandel, Eugene, and Neil D. Pearson, 1995, Differential interpretation of public signals and trade in speculative markets, Journal of Political Economy 103, 831 872.
    • (1995) Journal of Political Economy , vol.103 , pp. 831-872
    • Kandel, E.1    Pearson, N.D.2
  • 34
    • 84944837822 scopus 로고
    • The aggregation of investor's diverse judgments and preferences in purely competitive security markets
    • Lintner, John, 1969, The aggregation of investor's diverse judgments and preferences in purely competitive security markets, Journal of Financial and Quantitative Analysis 4, 347 400.
    • (1969) Journal of Financial and Quantitative Analysis , vol.4 , pp. 347-400
    • Lintner, J.1
  • 35
    • 84977707554 scopus 로고
    • A simple model of capital market equilibrium with incomplete information
    • Merton, Robert C., 1987, A simple model of capital market equilibrium with incomplete information, Journal of Finance 42, 483 510.
    • (1987) Journal of Finance , vol.42 , pp. 483-510
    • Merton, R.C.1
  • 36
    • 84916929634 scopus 로고
    • Risk, uncertainty and divergence of opinion
    • Miller, Edward M., 1977, Risk, uncertainty and divergence of opinion, Journal of Finance 32, 1151 1168.
    • (1977) Journal of Finance , vol.32 , pp. 1151-1168
    • Miller, E.M.1
  • 37
    • 0037761333 scopus 로고    scopus 로고
    • Speculative investor behavior and learning
    • Morris, Stephen, 1996, Speculative investor behavior and learning, Quarterly Journal of Economics 111, 1111 1133.
    • (1996) Quarterly Journal of Economics , vol.111 , pp. 1111-1133
    • Morris, S.1
  • 38
    • 0001281286 scopus 로고
    • Rational expectations and the theory of price movements
    • Muth, John F., 1961, Rational expectations and the theory of price movements, Econometrica 29, 315 335.
    • (1961) Econometrica , vol.29 , pp. 315-335
    • Muth, J.F.1
  • 39
    • 0346907827 scopus 로고    scopus 로고
    • Volume, volatility, price and profit when all traders are above average
    • Odean, Terrance, 1998, Volume, volatility, price and profit when all traders are above average, Journal of Finance 53, 1887 1934.
    • (1998) Journal of Finance , vol.53 , pp. 1887-1934
    • Odean, T.1
  • 40
    • 0001241910 scopus 로고
    • Risk, inflation, and the stock market
    • Pindyck, Robert S., 1984, Risk, inflation, and the stock market, American Economic Review 74, 334 351.
    • (1984) American Economic Review , vol.74 , pp. 334-351
    • Pindyck, R.S.1
  • 41
    • 0942288976 scopus 로고    scopus 로고
    • Overconfidence and speculative bubbles
    • and.
    • Scheinkman, Jose, and Wei Xiong, 2003, Overconfidence and speculative bubbles, Journal of Political Economy 111, 1183 1219.
    • (2003) Journal of Political Economy , vol.111 , pp. 1183-1219
    • Scheinkman, J.1    Xiong, W.2
  • 42
    • 0002791454 scopus 로고
    • Differences of opinion in financial markets
    • in. Courtenay C. Stone, ed. Kluwer Academic Publishers. Boston, MA).
    • Varian, Hal R., 1989, Differences of opinion in financial markets, in Courtenay C. Stone, ed Financial Risk: Theory, Evidence and Implications (Kluwer Academic Publishers Boston, MA).
    • (1989) Financial Risk: Theory, Evidence and Implications
    • Varian, H.R.1
  • 43
    • 0033407259 scopus 로고    scopus 로고
    • Stock market overreaction to bad news in good times: A rational expectations equilibrium model
    • Veronesi, Pietro, 1999, Stock market overreaction to bad news in good times: A rational expectations equilibrium model, Review of Financial Studies 12, 975 1007.
    • (1999) Review of Financial Studies , vol.12 , pp. 975-1007
    • Veronesi, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.