-
1
-
-
0009232225
-
Return volatility and trading volume: An information flow interpretation of stochastic volatility
-
Anderson T. Return volatility and trading volume: An information flow interpretation of stochastic volatility. Journal of Finance 51 (1996) 169-204
-
(1996)
Journal of Finance
, vol.51
, pp. 169-204
-
-
Anderson, T.1
-
2
-
-
1842813965
-
Liquidity externalities and adverse selection: Evidence from trading after hours
-
Barclay M., and Hendershott T. Liquidity externalities and adverse selection: Evidence from trading after hours. Journal of Finance 59 (2004) 681-710
-
(2004)
Journal of Finance
, vol.59
, pp. 681-710
-
-
Barclay, M.1
Hendershott, T.2
-
3
-
-
0242626584
-
Greener pastures and the impact of dynamic institutional preferences
-
Bennett J., Sias R., and Starks L.T. Greener pastures and the impact of dynamic institutional preferences. Review of Financial Studies 16 (2003) 1199-1234
-
(2003)
Review of Financial Studies
, vol.16
, pp. 1199-1234
-
-
Bennett, J.1
Sias, R.2
Starks, L.T.3
-
5
-
-
34247218482
-
Firm-specific risk and equity market development
-
Brown G., and Kapadia N. Firm-specific risk and equity market development. Journal of Financial Economics 84 (2007) 358-388
-
(2007)
Journal of Financial Economics
, vol.84
, pp. 358-388
-
-
Brown, G.1
Kapadia, N.2
-
6
-
-
0002519023
-
Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk
-
Campbell J., Lettau M., Malkiel B., and Xu Y. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. Journal of Finance 56 (2001) 1-43
-
(2001)
Journal of Finance
, vol.56
, pp. 1-43
-
-
Campbell, J.1
Lettau, M.2
Malkiel, B.3
Xu, Y.4
-
7
-
-
57349135479
-
Can growth options explain the trend in idiosyncratic risk?
-
Cao C., Simin T.T., and Zhao J. Can growth options explain the trend in idiosyncratic risk?. Review of Financial Studies 21 (2008) 2599-2633
-
(2008)
Review of Financial Studies
, vol.21
, pp. 2599-2633
-
-
Cao, C.1
Simin, T.T.2
Zhao, J.3
-
8
-
-
21144470245
-
Testing identifiability and specification in instrumental variable models
-
Cragg J.G., and Donald S.G. Testing identifiability and specification in instrumental variable models. Econometric Theory 9 (1993) 222-240
-
(1993)
Econometric Theory
, vol.9
, pp. 222-240
-
-
Cragg, J.G.1
Donald, S.G.2
-
9
-
-
84977712440
-
Positive feedback investment strategies and destabilizing rational speculation
-
De Long J.B., Shleifer A., Summers L.H., and Waldmann R.J. Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance 45 (1990) 379-395
-
(1990)
Journal of Finance
, vol.45
, pp. 379-395
-
-
De Long, J.B.1
Shleifer, A.2
Summers, L.H.3
Waldmann, R.J.4
-
10
-
-
0029715608
-
The distorting effect of the prudent-man laws on institutional equity investments
-
Del Guercio D. The distorting effect of the prudent-man laws on institutional equity investments. Journal of Financial Economics 40 (1996) 31-62
-
(1996)
Journal of Financial Economics
, vol.40
, pp. 31-62
-
-
Del Guercio, D.1
-
11
-
-
0042671347
-
Who blinks in volatile markets, individuals or institutions?
-
Dennis P., and Strickland D. Who blinks in volatile markets, individuals or institutions?. Journal of Finance 57 (2002) 1923-1949
-
(2002)
Journal of Finance
, vol.57
, pp. 1923-1949
-
-
Dennis, P.1
Strickland, D.2
-
13
-
-
0000928969
-
Risk, return, and equilibrium: Empirical tests
-
Fama E., and MacBeth J. Risk, return, and equilibrium: Empirical tests. Journal of Political Economy 81 (1973) 607-636
-
(1973)
Journal of Political Economy
, vol.81
, pp. 607-636
-
-
Fama, E.1
MacBeth, J.2
-
14
-
-
60649093936
-
-
Working Paper, Rice University
-
Fink J., Fink K.E., Grullon G., and Weston J. Firm Age and Fluctuations in Idiosyncratic Risk (2006), Working Paper, Rice University
-
(2006)
Firm Age and Fluctuations in Idiosyncratic Risk
-
-
Fink, J.1
Fink, K.E.2
Grullon, G.3
Weston, J.4
-
15
-
-
84977717550
-
Herd on the street: Informational inefficiencies in a market with short-term speculation
-
Froot K.A., Scharfstein D.S., and Stein J.C. Herd on the street: Informational inefficiencies in a market with short-term speculation. Journal of Finance 47 (1992) 1461-1484
-
(1992)
Journal of Finance
, vol.47
, pp. 1461-1484
-
-
Froot, K.A.1
Scharfstein, D.S.2
Stein, J.C.3
-
16
-
-
0000353081
-
Corporate governance proposals and shareholder activism: The role of institutional investors
-
Gillan S., and Starks L. Corporate governance proposals and shareholder activism: The role of institutional investors. Journal of Financial Economics 57 (2000) 275-305
-
(2000)
Journal of Financial Economics
, vol.57
, pp. 275-305
-
-
Gillan, S.1
Starks, L.2
-
18
-
-
32144434744
-
Payout policy, taxes, and relation between returns and the bid-ask spread
-
Gottesman A., and Jacoby G. Payout policy, taxes, and relation between returns and the bid-ask spread. Journal of Banking and Finance 30 (2006) 37-58
-
(2006)
Journal of Banking and Finance
, vol.30
, pp. 37-58
-
-
Gottesman, A.1
Jacoby, G.2
-
19
-
-
0000741932
-
Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior
-
Grinblatt M., Titman S., and Wermers R. Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. American Economic Review 85 (1995) 1088-1105
-
(1995)
American Economic Review
, vol.85
, pp. 1088-1105
-
-
Grinblatt, M.1
Titman, S.2
Wermers, R.3
-
20
-
-
19944392552
-
Institutional holdings and payout policy
-
Grinstein Y., and Michaely R. Institutional holdings and payout policy. Journal of Finance 60 (2005) 1389-1429
-
(2005)
Journal of Finance
, vol.60
, pp. 1389-1429
-
-
Grinstein, Y.1
Michaely, R.2
-
22
-
-
0001066475
-
Agency costs of free cash flow, corporate finance, and takeover
-
Jensen M. Agency costs of free cash flow, corporate finance, and takeover. American Economic Review 76 (1986) 323-329
-
(1986)
American Economic Review
, vol.76
, pp. 323-329
-
-
Jensen, M.1
-
23
-
-
84919214538
-
The relation between price changes and trading volume: A survey
-
Karpoff J.M. The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis 22 (1987) 109-126
-
(1987)
Journal of Financial and Quantitative Analysis
, vol.22
, pp. 109-126
-
-
Karpoff, J.M.1
-
24
-
-
0002927733
-
Price reversals: Bid-ask errors or market overreaction?
-
Kaul G., and Nimalendran M. Price reversals: Bid-ask errors or market overreaction?. Journal of Financial Economics 28 (1990) 67-93
-
(1990)
Journal of Financial Economics
, vol.28
, pp. 67-93
-
-
Kaul, G.1
Nimalendran, M.2
-
26
-
-
84977708043
-
An analysis of intraday patterns in bid/ask spreads for NYSE stocks
-
McInish T., and Wood R. An analysis of intraday patterns in bid/ask spreads for NYSE stocks. The Journal of Finance 47 (1992) 753-764
-
(1992)
The Journal of Finance
, vol.47
, pp. 753-764
-
-
McInish, T.1
Wood, R.2
-
27
-
-
0142250349
-
Stock valuation and learning about profitability
-
Pastor L., and Veronesi P. Stock valuation and learning about profitability. Journal of Finance 58 (2003) 1749-1789
-
(2003)
Journal of Finance
, vol.58
, pp. 1749-1789
-
-
Pastor, L.1
Veronesi, P.2
-
28
-
-
84892702170
-
Estimating standard errors in finance panel data sets: Comparing approaches
-
Petersen M. Estimating standard errors in finance panel data sets: Comparing approaches. Review of Financial Studies 22 (2009) 435-480
-
(2009)
Review of Financial Studies
, vol.22
, pp. 435-480
-
-
Petersen, M.1
-
29
-
-
34447549288
-
Ownership level, ownership concentration and liquidity
-
Rubin A. Ownership level, ownership concentration and liquidity. Journal of Financial Markets 10 (2007) 219-248
-
(2007)
Journal of Financial Markets
, vol.10
, pp. 219-248
-
-
Rubin, A.1
-
30
-
-
0039750326
-
Do dividends signal earnings? The case of omitted dividends
-
Sant R., and Cowan A.R. Do dividends signal earnings? The case of omitted dividends. Journal of Banking and Finance 18 (1994) 1113-1133
-
(1994)
Journal of Banking and Finance
, vol.18
, pp. 1113-1133
-
-
Sant, R.1
Cowan, A.R.2
-
31
-
-
23944469826
-
A time-series analysis of corporate payout policies
-
Sarig O. A time-series analysis of corporate payout policies. Review of Finance 8 (2004) 515-536
-
(2004)
Review of Finance
, vol.8
, pp. 515-536
-
-
Sarig, O.1
-
33
-
-
0036149166
-
Stock volatility in the new millennium: How wacky is Nasdaq?
-
Schwert G.W. Stock volatility in the new millennium: How wacky is Nasdaq?. Journal of Monetary Economics 49 (2002) 3-26
-
(2002)
Journal of Monetary Economics
, vol.49
, pp. 3-26
-
-
Schwert, G.W.1
-
34
-
-
0002410543
-
Volatility and the institutional investor
-
Sias R. Volatility and the institutional investor. Financial Analysts Journal 52 (1996) 13-20
-
(1996)
Financial Analysts Journal
, vol.52
, pp. 13-20
-
-
Sias, R.1
-
37
-
-
0347569245
-
Investigating the behavior of idiosyncratic volatility
-
Xu Y., and Malkiel B. Investigating the behavior of idiosyncratic volatility. Journal of Business 76 (2003) 613-643
-
(2003)
Journal of Business
, vol.76
, pp. 613-643
-
-
Xu, Y.1
Malkiel, B.2
-
38
-
-
30744469688
-
Why did individual stocks become more volatile?
-
Wei S., and Zhang C. Why did individual stocks become more volatile?. Journal of Business 79 (2006) 259-291
-
(2006)
Journal of Business
, vol.79
, pp. 259-291
-
-
Wei, S.1
Zhang, C.2
-
39
-
-
0006818286
-
Mutual fund herding and the impact on stock prices
-
Wermers R. Mutual fund herding and the impact on stock prices. Journal of Finance 54 (1999) 581-623
-
(1999)
Journal of Finance
, vol.54
, pp. 581-623
-
-
Wermers, R.1
-
40
-
-
0002394481
-
Dividend innovations and stock price volatility
-
West K. Dividend innovations and stock price volatility. Econometrica 56 (1988) 37-61
-
(1988)
Econometrica
, vol.56
, pp. 37-61
-
-
West, K.1
-
41
-
-
28044467726
-
Share price performance following actual share repurchases
-
Zhang H. Share price performance following actual share repurchases. Journal of Banking and Finance 29 (2005) 1887-1901
-
(2005)
Journal of Banking and Finance
, vol.29
, pp. 1887-1901
-
-
Zhang, H.1
|