Results 41 to 48 of about 87,674 (48)

Analyst Coverage and Expected Crash Risk: Evidence from Exogenous Changes in Analyst Coverage

Accounting Review, 2018
Using brokerage mergers and closures as two sources of exogenous shock to analyst coverage, this study explores the causal effect of analyst coverage on ex ante expected crash risk as captured by the options implied volatility smirk.
Jeong-Bon Kim, L. Lu, Yangxin Yu
semanticscholar   +1 more source

News and Asset Pricing: A High-Frequency Anatomy of the SDF

The Review of financial studies
Utilizing real-time newswire data, together with a robustly estimated intraday stochastic discount factor (SDF), we identify and quantify the economic news that is priced.
Saketh Aleti, Tim Bollerslev
semanticscholar   +1 more source

Beliefs about the Stock Market and Investment Choices: Evidence from a Survey and a Field Experiment

The Review of financial studies
We survey retail investors at an online bank to study how beliefs about the autocorrelation of aggregate stock returns shape investment decisions measured in administrative account data.
Christine Laudenbach, Annika Weber, Rüdiger Weber, Johannes Wohlfart   +3 more
semanticscholar   +1 more source

The jump-risk premia implicit in options: evidence from an integrated time-series study $

, 2002
Jun Pan
semanticscholar   +1 more source

Investor Overconfidence and Trading Volume

, 2006
Meir Statman, Steven Thorley, Keith P. Vorkink   +2 more
semanticscholar   +1 more source

Housing, Consumption and Asset Pricing

, 2007
Chenchuramaiah T. Bathala
semanticscholar   +1 more source

Leverage Cycles and the Anxious Economy

, 2008
Ana Fostel, J. Geanakoplos
semanticscholar   +1 more source

Does Algorithmic Trading Reduce Information Acquisition?

, 2017
B. Weller
semanticscholar   +1 more source