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Changes in Risk Factor Disclosures and the Variance Risk Premium
16 references·1 citing·36 second hopsampled
Changes in Risk Factor Disclosures and the Variance Risk Premium (2023)Changes in Risk Factor Disclosures and th…Lazy Prices (2020)Lazy PricesThe evolution of 10-K textual disclosure: Evidence from Latent Dirichlet Allocation (2017)The evolution of 10-K textual…The benefits of specific risk-factor disclosures (2016)The benefits of specific risk…Textual Analysis in Accounting and Finance: A Survey (2016)Textual Analysis in Accountin…Textual risk disclosures and investors’ risk perceptions (2013)Textual risk disclosures and …When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)When Is a Liability Not a Lia…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…The Information Content of Mandatory Risk Factor Disclosures in Corporate Filings (2010)The Information Content of Ma…Large‐Sample Evidence on Firms’ Year‐over‐Year MD&A Modifications (2010)Large‐Sample Evidence on Firm…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Variance Risk Premiums (2008)Variance Risk PremiumsAnnual report readability, current earnings, and earnings persistence (2008)Annual report readability, cu…The market pricing of accruals quality (2005)The market pricing of accrual…Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Delta-Hedged Gains and the Ne…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…Measuring the Expected Effects of the Global Tax Reform (2023)Measuring the Expected Effect…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Editor's Choice Digesting Anomalies: An Investment ApproachEfficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Expectations of Returns and Expected Returns (2014)… and the Cross-Section of Expected Returns (2015)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)How Sovereign Is Sovereign Credit Risk? (2011)Disappearing dividends: changing firm characteristics or lower propensity to pay? (2001)In Search of Attention (2011)Text as Data: The Promise and Pitfalls of Automatic Content Analysis Methods for Political Texts (2013)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)Momentum crashes (2016)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Thirteen Ways to Look at the Correlation Coefficient (1988)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Uniting the Tribes: Using Text for Marketing Insight (2019)Climate Change News Risk and Corporate Bond Returns (2020)Deep learning for financial applications : A survey (2020)Positive Accounting Theory (1985)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Theory of Rational Option Pricing (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Empirical Investigation of Continuous‐Time Equity Return Models (2002)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)How does financial reporting quality relate to investment efficiency? (2009)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2011When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks6,003 cited
  • 2005The market pricing of accruals quality3,101 cited
  • 2008Annual report readability, current earnings, and earnings persistence2,850 cited
  • 2016Textual Analysis in Accounting and Finance: A Survey2,279 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2008Variance Risk Premiums1,328 cited
  • 2003Delta-Hedged Gains and the Negative Market Volatility Risk Premium934 cited
  • 2010The Information Content of Mandatory Risk Factor Disclosures in Corporate Filings922 cited
  • 2017The evolution of 10-K textual disclosure: Evidence from Latent Dirichlet Allocation840 cited
  • 2013Textual risk disclosures and investors’ risk perceptions685 cited
  • 2010Large‐Sample Evidence on Firms’ Year‐over‐Year MD&A Modifications677 cited
  • 2016The benefits of specific risk-factor disclosures548 cited

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2020
Lazy Prices
390 cited

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  • 2023Measuring the Expected Effects of the Global Tax Reform32 cited