-
2
-
-
0002816156
-
A theory of intraday patterns: volume and price variability
-
Admati A.R., Pfleiderer P. A theory of intraday patterns: volume and price variability. Review of Financial Studies 1988, 1:3-40.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 3-40
-
-
Admati, A.R.1
Pfleiderer, P.2
-
3
-
-
0013068840
-
Illiquidity and stock returns: cross-section and time-series effects
-
Amihud Yakov. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 2002, 5:31-56.
-
(2002)
Journal of Financial Markets
, vol.5
, pp. 31-56
-
-
Amihud, Y.1
-
4
-
-
33750049968
-
Why company-specific risk changes over time?
-
Bennett J., Sias R. Why company-specific risk changes over time?. Financial Analysts Journal 2006, 62:89-100.
-
(2006)
Financial Analysts Journal
, vol.62
, pp. 89-100
-
-
Bennett, J.1
Sias, R.2
-
5
-
-
76549120326
-
The idiosyncratic volatility puzzle: time trend or speculative episodes
-
Brandt M.W., Brav A., Graham J.R., Kumar A. The idiosyncratic volatility puzzle: time trend or speculative episodes. Review of Financial Studies 2010, 23:863-899.
-
(2010)
Review of Financial Studies
, vol.23
, pp. 863-899
-
-
Brandt, M.W.1
Brav, A.2
Graham, J.R.3
Kumar, A.4
-
6
-
-
34247218482
-
Firm-specific risk and equity market development
-
Brown G., Kapadia N. Firm-specific risk and equity market development. Journal of Financial Economics 2007, 84:358-388.
-
(2007)
Journal of Financial Economics
, vol.84
, pp. 358-388
-
-
Brown, G.1
Kapadia, N.2
-
7
-
-
0002519023
-
Have individual stocks become more volatile? an empirical exploration of idiosyncratic risk
-
Campbell J., Lettau M., Malkiel B., Xu Y. Have individual stocks become more volatile? an empirical exploration of idiosyncratic risk. Journal of Finance 2001, 56:1-43.
-
(2001)
Journal of Finance
, vol.56
, pp. 1-43
-
-
Campbell, J.1
Lettau, M.2
Malkiel, B.3
Xu, Y.4
-
8
-
-
57349135479
-
Can growth options explain the trend in idiosyncratic risk?
-
Cao C., Simin T.T., Zhao J. Can growth options explain the trend in idiosyncratic risk?. Review of Financial Studies 2008, 21:2599-2633.
-
(2008)
Review of Financial Studies
, vol.21
, pp. 2599-2633
-
-
Cao, C.1
Simin, T.T.2
Zhao, J.3
-
9
-
-
0002624840
-
On persistence in mutual fund performance
-
Carhart M. On persistence in mutual fund performance. Journal of Finance 1997, 52:57-82.
-
(1997)
Journal of Finance
, vol.52
, pp. 57-82
-
-
Carhart, M.1
-
10
-
-
64049092629
-
Causality in quantiles and dynamic stock return-volume relations
-
Chuang Chia-Chang, Kuan Chung-Ming, Lin Hsin-Yi Causality in quantiles and dynamic stock return-volume relations. Journal of Banking and Finance 2009, 33:1351-1360.
-
(2009)
Journal of Banking and Finance
, vol.33
, pp. 1351-1360
-
-
Chuang, C.-C.1
Kuan, C.-M.2
Lin, H.-Y.3
-
11
-
-
33749072972
-
Efficient tests for general persistent time variation in regression coefficients
-
Elliott G., Müller U.K. Efficient tests for general persistent time variation in regression coefficients. Review of Economic Studies 2006, 73:907-940.
-
(2006)
Review of Economic Studies
, vol.73
, pp. 907-940
-
-
Elliott, G.1
Müller, U.K.2
-
12
-
-
0000756720
-
The stochastic dependence of security price changes and transaction volumes: implications for the mixture-of-distributions hypothesis
-
Epps T., Epps M. The stochastic dependence of security price changes and transaction volumes: implications for the mixture-of-distributions hypothesis. Econometrica 1976, 44:305-321.
-
(1976)
Econometrica
, vol.44
, pp. 305-321
-
-
Epps, T.1
Epps, M.2
-
13
-
-
0003164748
-
Disappearing dividends: changing firm characteristics or lower propensity to pay?
-
Fama E.F., French K.R. Disappearing dividends: changing firm characteristics or lower propensity to pay?. Journal of Financial Economics 2001, 60:3-43.
-
(2001)
Journal of Financial Economics
, vol.60
, pp. 3-43
-
-
Fama, E.F.1
French, K.R.2
-
14
-
-
0000928969
-
Risk, return, and equilibrium: empirical tests
-
Fama E., MacBeth J. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 1973, 81:607-636.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 607-636
-
-
Fama, E.1
MacBeth, J.2
-
17
-
-
79955668055
-
-
Firm Age and Fluctuations in Idiosyncratic Risk. Working Paper, Rice University.
-
Fink, J., Fink, K.E., Grullon, G., Weston, J., 2006. Firm Age and Fluctuations in Idiosyncratic Risk. Working Paper, Rice University.
-
(2006)
-
-
Fink, J.1
Fink, K.E.2
Grullon, G.3
Weston, J.4
-
18
-
-
33646891738
-
Stochastic volatility, trading volume, and the daily flow of information
-
Fleming J., Kirby C., Ostdiek B. Stochastic volatility, trading volume, and the daily flow of information. Journal of Business 2006, 79:1551-1590.
-
(2006)
Journal of Business
, vol.79
, pp. 1551-1590
-
-
Fleming, J.1
Kirby, C.2
Ostdiek, B.3
-
19
-
-
0000763880
-
A theory of the interday variations in volume, variance, and trading costs in securities markets
-
Foster F.D., Viswanathan S. A theory of the interday variations in volume, variance, and trading costs in securities markets. Review of Financial Studies 1990, 3:593-624.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 593-624
-
-
Foster, F.D.1
Viswanathan, S.2
-
21
-
-
0036145406
-
Comment on: stock volatility in the new Millennium: How wacky is Nasdaq?
-
Hollifield B. Comment on: stock volatility in the new Millennium: How wacky is Nasdaq?. Journal of Monetary Economics 2002, 49:27-30.
-
(2002)
Journal of Monetary Economics
, vol.49
, pp. 27-30
-
-
Hollifield, B.1
-
22
-
-
60449087902
-
Idiosyncratic return volatility, cash flows, and product market competition
-
Irvine P., Pontiff J. Idiosyncratic return volatility, cash flows, and product market competition. Review of Financial Studies 2009, 22:1149-1177.
-
(2009)
Review of Financial Studies
, vol.22
, pp. 1149-1177
-
-
Irvine, P.1
Pontiff, J.2
-
23
-
-
84919214538
-
The relationship between price changes and trading volume: a survey
-
Karpoff J. The relationship between price changes and trading volume: a survey. Journal of Financial and Quantitative Analysis 1987, 22:109-126.
-
(1987)
Journal of Financial and Quantitative Analysis
, vol.22
, pp. 109-126
-
-
Karpoff, J.1
-
24
-
-
0030521058
-
Heterogeneous beliefs and the effect of replicatable options on asset prices
-
Kraus A., Smith M. Heterogeneous beliefs and the effect of replicatable options on asset prices. Review of Financial Studies 1996, 3:723-756.
-
(1996)
Review of Financial Studies
, vol.3
, pp. 723-756
-
-
Kraus, A.1
Smith, M.2
-
26
-
-
0000706085
-
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey W.K., West K.D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 1987, 55:703-708.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.K.1
West, K.D.2
-
27
-
-
0142250349
-
Stock valuation and learning about profitability
-
Pastor L., Veronesi P. Stock valuation and learning about profitability. Journal of Finance 2003, 58:1749-1789.
-
(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 2009, 22:435-480.
-
(2009)
Review of Financial Studies
, vol.22
, pp. 435-480
-
-
Petersen, M.1
-
29
-
-
79955657492
-
-
Financial reporting quality and idiosyncratic volatility over the last four decades. Journal of Accounting and Economics.
-
Rajgopal, S., Venkatachalam, M., 2010. Financial reporting quality and idiosyncratic volatility over the last four decades. Journal of Accounting and Economics.
-
(2010)
-
-
Rajgopal, S.1
Venkatachalam, M.2
-
30
-
-
84971972619
-
A direct test of the mixture of distributions hypothesis: measuring the daily flow of information
-
Richardson M., Smith T. A direct test of the mixture of distributions hypothesis: measuring the daily flow of information. Journal of Financial and Quantitative Analysis 1994, 29:101-116.
-
(1994)
Journal of Financial and Quantitative Analysis
, vol.29
, pp. 101-116
-
-
Richardson, M.1
Smith, T.2
-
32
-
-
60649102015
-
Volatility, dividends and institutional ownership
-
Rubin A., Smith D.R. Volatility, dividends and institutional ownership. Journal of Banking and Finance 2009, 33:627-639.
-
(2009)
Journal of Banking and Finance
, vol.33
, pp. 627-639
-
-
Rubin, A.1
Smith, D.R.2
-
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 2002, 49:3-26.
-
(2002)
Journal of Monetary Economics
, vol.49
, pp. 3-26
-
-
Schwert, G.W.1
-
34
-
-
0000658999
-
The price variability-volume relationship on speculative markets
-
Tauchen G.E., Pitts M. The price variability-volume relationship on speculative markets. Econometrica 1983, 51:485-505.
-
(1983)
Econometrica
, vol.51
, pp. 485-505
-
-
Tauchen, G.E.1
Pitts, M.2
-
35
-
-
74149083265
-
The degree of financial liberalization and aggregated stock-return volatility in emerging markets
-
Umutlu M., Adeniz L., Altay-Salih A. The degree of financial liberalization and aggregated stock-return volatility in emerging markets. Journal of Banking and Finance 2010, 34:509-521.
-
(2010)
Journal of Banking and Finance
, vol.34
, pp. 509-521
-
-
Umutlu, M.1
Adeniz, L.2
Altay-Salih, A.3
-
36
-
-
77952675326
-
Dynamics and causality in industry-specific volatility
-
Wang Z. Dynamics and causality in industry-specific volatility. Journal of Banking and Finance 2010, 34:1688-1699.
-
(2010)
Journal of Banking and Finance
, vol.34
, pp. 1688-1699
-
-
Wang, Z.1
-
37
-
-
30744469688
-
Why did individual stocks become more volatile?
-
Wei S., Zhang C. Why did individual stocks become more volatile?. Journal of Business 2006, 79:259-291.
-
(2006)
Journal of Business
, vol.79
, pp. 259-291
-
-
Wei, S.1
Zhang, C.2
-
38
-
-
0347569245
-
Investigating the behavior of idiosyncratic volatility
-
Xu Y., Malkiel B. Investigating the behavior of idiosyncratic volatility. Journal of Business 2003, 76:613-643.
-
(2003)
Journal of Business
, vol.76
, pp. 613-643
-
-
Xu, Y.1
Malkiel, B.2
|