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Real Options, Idiosyncratic Skewness, and Diversification
16 references·6 citing·24 second hop
Real Options, Idiosyncratic Skewness, and Diversification (2017)Real Options, Idiosyncratic Skewness, and…Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)Credit Booms Gone Bust: Monet…This Time Is Different (2009)This Time Is DifferentThis Time Is Different (2009)This Time Is DifferentIn Search of Distress Risk (2008)In Search of Distress RiskEstimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Initial conditions and moment restrictions in dynamic panel data models (1998)Initial conditions and moment…Industry costs of equity (1997)Industry costs of equityInitial conditions and moment restrictions in dynamic panel data models (1995)Initial conditions and moment…Another look at the instrumental variable estimation of error-components models (1995)Another look at the instrumen…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…No news is good news (1992)No news is good newsSome Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Some Tests of Specification f…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Biases in Dynamic Models with Fixed Effects (1981)Biases in Dynamic Models with…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Skewness Sentiment and Market Anomalies (2023)Skewness Sentiment and Market…The skewness index: uncovering the relationship with volatility and market returns (2021)The skewness index: uncoverin…Ambiguity, Managerial Ability, and Growth Options (2021)Ambiguity, Managerial Ability…Freight Rates in Downside and Upside Markets: Pricing of Own and Spillover Risks from Other Shipping Segments (2020)Freight Rates in Downside and…Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility (2019)Growth Options and Related St…Investment Dynamics and Earnings‐Return Properties: A Structural Approach (2018)Investment Dynamics and Earni…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Specification Tests in Econometrics (1978)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)The European Sovereign Debt Crisis (2012)Populism and the economics of globalization (2018)Systemic Banking Crises Database II (2020)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)How to do Xtabond2: An Introduction to Difference and System GMM in Stata (2009)A finite sample correction for the variance of linear efficient two-step GMM estimators (2004)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)
this work references cited by second hop

References

  • 1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations33,089 cited
  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1998Initial conditions and moment restrictions in dynamic panel data models22,547 cited
  • 1995Another look at the instrumental variable estimation of error-components models19,861 cited
  • 1995Initial conditions and moment restrictions in dynamic panel data models14,749 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1981Biases in Dynamic Models with Fixed Effects8,724 cited
  • 1997Industry costs of equity5,793 cited
  • 2009This Time Is Different3,448 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2012Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–20082,655 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 2009This Time Is Different2,361 cited
  • 2008In Search of Distress Risk2,232 cited

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  • 1992No news is good news1,929 cited
  • Cited by

    • 2020Freight Rates in Downside and Upside Markets: Pricing of Own and Spillover Risks from Other Shipping Segments41 cited
    • 2018Investment Dynamics and Earnings‐Return Properties: A Structural Approach39 cited
    • 2019Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility38 cited
    • 2021The skewness index: uncovering the relationship with volatility and market returns32 cited
    • 2021Ambiguity, Managerial Ability, and Growth Options21 cited
    • 2023Skewness Sentiment and Market Anomalies21 cited