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Institutional Investors and Stock Market Volatility
16 references·16 citing·37 second hopsampled
Institutional Investors and Stock Market Volatility (2006)Institutional Investors and Stock Market …The Quarterly Journal of Economics (2024)The Quarterly Journal of Econ…Review of Economic Studies (2010)Review of Economic StudiesAsset pricing with liquidity risk (2005)Asset pricing with liquidity …Income Inequality in the United States, 1913-1998 (2003)Income Inequality in the Unit…The variation of certain speculative prices (1997)The variation of certain spec…Modelling Extremal Events (1997)Modelling Extremal EventsThe Limits of Arbitrage (1995)The Limits of ArbitrageMaxmin expected utility with non-unique prior (1989)Maxmin expected utility with …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Human behavior and the principle of least effort (1949)Human behavior and the princi…Power Laws in Economics: An Introduction (2016)Power Laws in Economics: An I…Microeconomic Origins of Macroeconomic Tail Risks (2016)Microeconomic Origins of Macr…Rare Disasters and Exchange Rates * (2015)Rare Disasters and Exchange R…Price pressures (2014)Price pressuresLimit order books (2013)Limit order booksAsset Prices and Institutional Investors (2013)Asset Prices and Institutiona…Econophysics review: I. Empirical facts (2011)Econophysics review: I. Empir…How Markets Slowly Digest Changes in Supply and Demand (2009)How Markets Slowly Digest Cha…Cross-correlations between volume change and price change (2009)Cross-correlations between vo…Colloquium : Statistical mechanics of money, wealth, and income (2009)Colloquium : Statistical mech…Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Stock Returns and Volatility:…Power Laws in Economics and Finance (2008)Power Laws in Economics and F…High-frequency trading in a limit order book (2008)High-frequency trading in a l…Limits of Arbitrage: Theory and Evidence from the Mortgage‐Backed Securities Market (2007)Limits of Arbitrage: Theory a…Why Has CEO Pay Increased So Much? (2006)Why Has CEO Pay Increased So …Über die Statistik verketteter Vorgänge (1923)Über die Statistik verkettete…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)Risk, Ambiguity, and the Savage Axioms (1961)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)A Smooth Model of Decision Making under Ambiguity (2005)A model of investor sentiment /CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Birds of a Feather: Homophily in Social Networks (2001)Zipf Distribution of U.S. Firm Sizes (2001)Power laws, Pareto distributions and Zipf's law (2005)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)Advances in prospect theory: Cumulative representation of uncertainty (1992)A Theory of Fairness, Competition, and Cooperation (1999)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)The Skill Content of Recent Technological Change: An Empirical Exploration (2003)
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2024The Quarterly Journal of Economics7,176 cited
  • 1949Human behavior and the principle of least effort6,562 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 2003Income Inequality in the United States, 1913-19983,767 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2010Review of Economic Studies2,967 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

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2,781 cited

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  • 2009How Markets Slowly Digest Changes in Supply and Demand442 cited
  • 2016Power Laws in Economics: An Introduction437 cited
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  • 2013Asset Prices and Institutional Investors365 cited
  • 2011Econophysics review: I. Empirical facts345 cited
  • 2016Microeconomic Origins of Macroeconomic Tail Risks318 cited
  • 2013Limit order books310 cited
  • 2007Limits of Arbitrage: Theory and Evidence from the Mortgage‐Backed Securities Market295 cited
  • 2014Price pressures291 cited
  • 2006Why Has CEO Pay Increased So Much?276 cited