SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Pricing of Volatility and Skewness: A New Interpretation
8 references·1 citing·33 second hop
The Pricing of Volatility and Skewness: A New Interpretation (2009)The Pricing of Volatility and Skewness: A…High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…Expected Idiosyncratic Skewness (2008)Expected Idiosyncratic Skewne…The Next Microsoft? Skewness, Idiosyncratic Volatility, and Expected Returns (2007)The Next Microsoft? Skewness,…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…A Delegated-Agent Asset-Pricing Model (2005)A Delegated-Agent Asset-Prici…The Limits of Arbitrage (1995)The Limits of ArbitrageThe journal of financial economics (1993)The journal of financial econ…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Risk Anomaly Tradeoff of Leverage (2016)The Risk Anomaly Tradeoff of …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Portfolio selection with a drawdown constraint (2006)Active portfolio management with benchmarking: Adding a value-at-risk constraint (2007)Optimal delegated portfolio management with background risk (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)On Persistence in Mutual Fund Performance (1997)Do Investors Overpay for Stocks with Lottery-Like Payoffs? An Examination of the Returns on OTC Stocks (2011)Higher co-moments and asset pricing on London Stock Exchange (2011)Lottery-Related Anomalies: The Role of Reference-Dependent Preferences (2015)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Corporate financing and investment decisions when firms have information that investors do not have (1984)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The arbitrage theory of capital asset pricing (1976)Book-to-Market Ratio and Skewness of Stock Returns (2013)Real Options, Idiosyncratic Skewness, and Diversification (2017)Is idiosyncratic risk priced? The international evidence (2022)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected Stock Returns and Variance Risk Premia (2009)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Institutional Investors and Equity Prices (2001)Relational Contracts and the Theory of the Firm (2002)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1993The journal of financial economics2,544 cited
  • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence1,440 cited
  • 2008Expected Idiosyncratic Skewness84 cited
  • 2005A Delegated-Agent Asset-Pricing Model71 cited
  • 2007The Next Microsoft? Skewness, Idiosyncratic Volatility, and Expected Returns70 cited

Cited by

  • 2016The Risk Anomaly Tradeoff of Leverage18 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work