SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Gambling preference and individual equity option returns
16 references·8 citing·24 second hopsampled
Gambling preference and individual equity option returns (2016)Gambling preference and individual equity…Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Household Finance (2006)Household FinanceInvestor Psychology and Asset Pricing (2001)Investor Psychology and Asset…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…The Limits of Arbitrage (1995)The Limits of ArbitrageReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Option pricing: A simplified approach (1979)Option pricing: A simplified …SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Option Return Predictability (2021)Option Return PredictabilityWinners, Losers, and Regulators in a Derivatives Market Bubble (2020)Winners, Losers, and Regulato…Mispricing, Short-Sale Constraints, and the Cross-Section of Option Returns (2020)Mispricing, Short-Sale Constr…Volatility-of-volatility and the cross-section of option returns (2019)Volatility-of-volatility and …Volatility and Expected Option Returns (2019)Volatility and Expected Optio…Product Market Competition and Option Prices (2019)Product Market Competition an…Risk-neutral moments in the crude oil market (2018)Risk-neutral moments in the c…Option Profit and Loss Attribution and Pricing: A New Framework (2018)Option Profit and Loss Attrib…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)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)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Theory of rational option pricing (2005)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)In Search of Attention (2011)Textual Analysis in Accounting and Finance: A Survey (2016)A model of investor sentiment /Market Liquidity and Funding Liquidity (2008)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,822 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 2001Investor Psychology and Asset Pricing2,429 cited
  • 2006Household Finance2,391 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

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

1,808 cited

Cited by

  • 2021Option Return Predictability116 cited
  • 2019Volatility and Expected Option Returns70 cited
  • 2020Mispricing, Short-Sale Constraints, and the Cross-Section of Option Returns65 cited
  • 2019Volatility-of-volatility and the cross-section of option returns46 cited
  • 2018Option Profit and Loss Attribution and Pricing: A New Framework44 cited
  • 2018Risk-neutral moments in the crude oil market28 cited
  • 2020Winners, Losers, and Regulators in a Derivatives Market Bubble26 cited
  • 2019Product Market Competition and Option Prices26 cited