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Stock market volatility in a heterogeneous information economy
Grundy, Bruce D.; Kim, Youngsoo - In: Journal of financial and quantitative analysis : JFQA 37 (2002) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10001661614
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Stock returns after major price shocks : the impact of information
Savor, Pavel - In: Journal of financial economics 106 (2012) 3, pp. 635-659
Persistent link: https://www.econbiz.de/10009710154
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The role of "other information" in analysts' forecasts in understanding stock return volatility
Shan, Yaowen; Taylor, Stephen L.; Walter, Terry S. - In: Review of accounting studies 19 (2014) 4, pp. 1346-1392
Persistent link: https://www.econbiz.de/10010459687
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Equity market volatility and expected risk premium
Chen, Long (contributor); Guo, Hui (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003739618
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Trading volume and the short and long-run components of volatility
Liesenfeld, Roman - 1997
Persistent link: https://www.econbiz.de/10000641845
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Trading volume and the short and long-run components of volatility
Liesenfeld, Roman - 1997
and the short-run or transitory components of the volatility of daily stock market returns using bivariate mixture models …. For this purpose, the Standard bivariate mixture model of Tauchen and Pitts (1983) in which volatility and volume are … each endowed with their own dynamic behavior are allowed to direct volatility and volume. Since the latent information …
Persistent link: https://www.econbiz.de/10010407096
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Stock return dynamics, option volume, and the information content of implied volatility
Mayhew, Stewart; Stivers, Christopher T. - In: The journal of futures markets 23 (2002) 7, pp. 615-646
Persistent link: https://www.econbiz.de/10001769715
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Does the listing of optionsimprove forecasting power? : evidence from the Shanghai Stock Exchange
Guo, Biao; Wang, Zhen; Fan, Shuyu - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 15, pp. 4300-4308
Persistent link: https://www.econbiz.de/10013463027
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Information misweighting and the cross-section of stock recommendations
Martinez, Jose Vicente - In: Journal of financial markets 14 (2011) 4, pp. 515-539
Persistent link: https://www.econbiz.de/10009261159
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Information content of earnings announcements in the New Zealand equity market, a longitudinal analysis
Truong, Cameron - In: Accounting and finance : journal of the Accounting … 52 (2012), pp. 403-432
Persistent link: https://www.econbiz.de/10009669885