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Dispersion and Volatility in Stock Returns: An Empirical Investigation
16 references·3 citing·44 second hop
Dispersion and Volatility in Stock Returns: An Empirical Investigation (1999)Dispersion and Volatility in Stock Return…The Distribution of Exchange Rate Volatility (1999)The Distribution of Exchange …The Econometrics of Financial Markets (1997)The Econometrics of Financial…Stock market volatility and the business cycle (1996)Stock market volatility and t…The Effect of Uncertainty on Investment: Some Stylized Facts (1995)The Effect of Uncertainty on …Automatic Lag Selection in Covariance Matrix Estimation (1995)Automatic Lag Selection in Co…All in the family Nesting symmetric and asymmetric GARCH models (1995)All in the family Nesting sym…Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns (1994)Time Variations and Covariati…Does industrial structure explain the benefits of international diversification? (1994)Does industrial structure exp…Understanding Risk and Return (1993)Understanding Risk and ReturnIndustrial Structure and the Comparative Behavior of International Stock Market Indices (1992)Industrial Structure and the …The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots (1991)Pitfalls and Opportunities: W…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…On Estimating the Expected Return on the Market: An Exploratory Investigation (1980)On Estimating the Expected Re…The Variability of the Market Factor of the New York Stock Exchange (1973)The Variability of the Market…The Information Content of Idiosyncratic Volatility (2005)The Information Content of Id…Cross-sectional variations in the degree of global integration: the case of Russian equities (2000)Cross-sectional variations in…Idiosyncratic Risk (1999)Idiosyncratic RiskCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)International Diversification of Investment Portfolios (1970)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Market Integration and Investment Barriers in Emerging Equity Markets (1995)Volatility Spillover Effects in European Equity Markets (2005)Global market integration: An alternative measure and its application☆ (2009)The arbitrage theory of capital asset pricing (1976)Macroeconomics and Reality (1980)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)… and the Cross-Section of Expected Returns (2015)A Theory of the Term Structure of Interest Rates (1985)Modeling and Forecasting Realized Volatility (2001)Does the stock market value bank diversification? (2007)Investor sentiment and the mean–variance relation☆ (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Quadratic ARCH Models (1995)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Alternative models for conditional stock volatility (1990)Stock Prices and Volume (1992)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)A Monetary History of the United States, 1867-1960 (2017)Investment and Demand Uncertainty (1999)Economic policy uncertainty and firm-level investment (2013)The Asset Redeployability Channel: How Uncertainty Affects Corporate Investment (2016)Firm Size and Cyclical Variations in Stock Returns (2000)Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe (2020)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)Market Liquidity and Funding Liquidity (2008)
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References

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  • 1993Understanding Risk and Return1,797 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
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  • 1980On Estimating the Expected Return on the Market: An Exploratory Investigation755 cited
  • 1994Does industrial structure explain the benefits of international diversification?746 cited
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  • 1999The Distribution of Exchange Rate Volatility

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462 cited
  • 1973The Variability of the Market Factor of the New York Stock Exchange455 cited
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    • 1999Idiosyncratic Risk33 cited
    • 2005The Information Content of Idiosyncratic Volatility31 cited
    • 2000Cross-sectional variations in the degree of global integration: the case of Russian equities30 cited