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The Joint Behavior of Credit Spreads, Stock Options and Equity Returns When Investors Disagree
16 references·1 citing·35 second hop
The Joint Behavior of Credit Spreads, Stock Options and Equity Returns When Investors Disagree (2008)The Joint Behavior of Credit Spreads, Sto…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…CEO Overconfidence and Corporate Investment (2005)CEO Overconfidence and Corpor…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Ambiguity Aversion and the Variance Premium (2018)Ambiguity Aversion and the Va…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)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Who makes acquisitions? CEO overconfidence and the market's reaction☆ (2008)A review of tax research (2010)Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?* (2011)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Introductory Econometrics for Finance (2008)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 2005CEO Overconfidence and Corporate Investment3,686 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2003Overconfidence and Speculative Bubbles2,227 cited
  • 2002Differences of Opinion and the Cross Section of Stock Returns2,145 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

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2,090 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
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    • 2018Ambiguity Aversion and the Variance Premium20 cited