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The mean/volatility asymmetry in Asian stock markets
16 references·0 citing·35 second hop
The mean/volatility asymmetry in Asian stock markets (2008)The mean/volatility asymmetry in Asian st…Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration (2006)Persistent misalignments of t…Asymmetric return dynamics and technical trading strategies (2004)Asymmetric return dynamics an…Short-Term Overreaction in the Hong Kong Stock Market: Can a Contrarian Trading Strategy Beat the Market? (2003)Short-Term Overreaction in th…Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon (2003)Is asymmetric mean-reverting …The impact of futures trading on spot index volatility: evidence for Taiwan index futures (2002)The impact of futures trading…Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction (2001)Asymmetric reverting behavior…The Financial Crisis of 1997–98 and the End of the Asian Developmental State (2000)The Financial Crisis of 1997–…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…No news is good news (1992)No news is good newsConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…CAPITAL 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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Commodity price cycles and heterogeneous speculators: a STAR–GARCH model (2006)Agent-based financial markets and New Keynesian macroeconomics: a synthesis (2012)Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact (2021)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Asymmetric volatility transmission in international stock markets (1995)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)What good is a volatility model? (2001)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)On the measurement of inequality (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1992No news is good news1,929 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 2001Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction108 cited
  • 2000The Financial Crisis of 1997–98 and the End of the Asian Developmental State68 cited
  • 2003Short-Term Overreaction in the Hong Kong Stock Market: Can a Contrarian Trading Strategy Beat the Market?60 cited
  • 2002The impact of futures trading on spot index volatility: evidence for Taiwan index futures39 cited
  • 2004Asymmetric return dynamics and technical trading strategies34 cited
  • 2006Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration

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31 cited
  • 2003Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon29 cited
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