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Testing the mixture of distributions hypothesis on target stocks
16 references·0 citing·39 second hopsampled
Testing the mixture of distributions hypothesis on target stocks (2015)Testing the mixture of distributions hypo…Idiosyncratic Risk Matters! (2003)Idiosyncratic Risk Matters!Bubbles and Crashes (2003)Bubbles and CrashesTrading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory (2000)Trading Volume: Definitions, …Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Markup pricing in mergers and acquisitions (1996)Markup pricing in mergers and…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Stock Prices and Volume (1992)Stock Prices and VolumeNo news is good news (1992)No news is good newsPersistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Expected stock returns and volatility (1987)Expected stock returns and vo…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Bubbles, Rational Expectations and Financial Markets (1982)Bubbles, Rational Expectation…The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)On the Impossibility of Informationally Efficient Markets (1980)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Asset pricing with liquidity risk (2005)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)ARCH modeling in finance (1992)Autoregressive conditional heteroskedasticity and changes in regime (1994)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)On the Impossibility of Informationally Efficient Markets (1980)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Forecasting Volatility in Financial Markets: A Review (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)The distribution of realized stock return volatility (2001)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)The Analysis of Economic Time-Series-Part I: Prices (1953)The Random Character of Stock Market Prices (1968)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)TALKING TRASH: LEGITIMACY, IMPRESSION MANAGEMENT, AND UNSYSTEMATIC RISK IN THE CONTEXT OF THE NATURAL ENVIRONMENT. (2004)Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis (2016)The General Theory of Employment, Interest and Money. (1936)Overconfidence and Speculative Bubbles (2003)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)
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References

  • 1987Expected stock returns and volatility4,147 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1992No news is good news1,929 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 1992Stock Prices and Volume1,295 cited
  • 2003Bubbles and Crashes1,246 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 2003Idiosyncratic Risk Matters!1,171 cited
  • 1982Bubbles, Rational Expectations and Financial Markets1,130 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 1996Markup pricing in mergers and acquisitions811 cited

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2000
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
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