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Asymmetric Cross-sectional Dispersion in Stock Returns: Evidence and Implications
16 references·8 citing·50 second hop
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(1989)Order Flow and Exchange Rate Dynamics (1999)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Time and the Price Impact of a Trade (2000)Optimal trading strategy and supply/demand dynamics (2012)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)The Price Variability-Volume Relationship on Speculative Markets (1983)Using daily stock returns (1985)Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems (1998)The Impact of Trader Type on the Futures Volatility‐Volume Relation (1999)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Bayesian Analysis of Stochastic Volatility Models (2002)Risks and Portfolio Decisions Involving Hedge Funds (2003)Market liquidity as a sentiment indicator (2004)The Behavior of Stock-Market Prices (1965)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Is the correlation in international equity returns constant: 1960–1990? (1995)International Market Correlation and Volatility (1996)The Distribution of Exchange Rate Volatility (1999)Specification Tests in Econometrics (1978)Small Sample Bias in GMM Estimation of Covariance Structures (1994)An evaluation of volatility forecasting techniques (1996)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)An Intertemporal Capital Asset Pricing Model (1973)The relationship between return and market value of common stocks (1981)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Liquidity Risk and Expected Stock Returns (2001)Dynamic Volume-Return Relation of Individual Stocks (2002)Understanding commonality in liquidity around the world (2011)Threshold arch models and asymmetries in volatility (1993)The Distribution of Stock Return Volatility (2000)News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns (2004)
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References

  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1994Transactions, Volume, and Volatility870 cited
  • 1990Stock Returns and Volatility722 cited
  • 2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory694 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1991No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns623 cited
  • 1994Forecasting International Equity Correlations521 cited
  • 1989Heteroskedasticity in Stock Returns479 cited
  • 1987Transaction Data Tests of the Mixture of Distributions Hypothesis321 cited
  • 1986Cross-Security Tests of the Mixture of Distributions Hypothesis276 cited
  • 2000Asymmetric Correlations of Equity Portfolios214 cited
  • 1975Security Price Changes and Transaction Volumes: Theory and Evidence172 cited
  • 2000Autoregressive Conditional Skewness126 cited
  • 1999International Asset Allocation with Time-Varying Correlations95 cited
  • 2000Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices

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92 cited

Cited by

  • 2013Speculative trading and WTI crude oil futures price movement: An empirical analysis81 cited
  • 2019Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests38 cited
  • 2001Downside Correlation and Expected Stock Returns37 cited
  • 2016The effect of gold market speculation on REIT returns in South Africa: a behavioral perspective32 cited
  • 2023Herding in the Chinese renewable energy market: Evidence from a bootstrapping time-varying coefficient autoregressive model25 cited
  • 2021Investor Sentiment and Stock Price Crash Risk: Evidence from China24 cited
  • 2012The Conditional Relation between Dispersion and Return23 cited
  • 2012Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach22 cited