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Ex ante skewness and expected stock returns

Conrad, Jennifer S.; Dittmar, Robert F.; Ghysels, Eric - In: The journal of finance : the journal of the American … 68 (2013) 1, pp. 85-124

Persistent link: https://www.econbiz.de/10009719760

Ex Ante Skewness and Expected Stock Returns

Conrad, Jennifer S. - 2012

We use a sample of option prices, and the method of Bakshi, Kapadia and Madan (2003), to estimate the ex ante higher moments of the underlying individual securities' risk-neutral returns distribution. We find that individual securities' volatility, skewness, and kurtosis are strongly related to...

Persistent link: https://www.econbiz.de/10013116546

Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns

Dittmar, Robert F. - In: The journal of finance : the journal of the American … 57 (2002) 1, pp. 369-403

Persistent link: https://www.econbiz.de/10001650384

How do analyst recommendations respond to major news?

Conrad, Jennifer S.; Cornell, Bradford; Landsman, Wayne R. - In: Journal of financial and quantitative analysis : JFQA 41 (2006) 1, pp. 25-50

Persistent link: https://www.econbiz.de/10003303758

High-frequency quoting, trading, and the efficiency of prices

Conrad, Jennifer S.; Wahal, Sunil; Xiang, Jin - In: Journal of financial economics 116 (2015) 2, pp. 271-291

Persistent link: https://www.econbiz.de/10011348502

When is bad news really bad news?

Conrad, Jennifer S.; Cornell, Bradford; Landsman, Wayne R. - In: The journal of finance : the journal of the American … 57 (2002) 6, pp. 2507-2532

Persistent link: https://www.econbiz.de/10001721545

Volume and autocovariances in short-horizon individual security returns

Conrad, Jennifer S. - In: The journal of finance : the journal of the American … 49 (1994) 4, pp. 1305-1329

Persistent link: https://www.econbiz.de/10001171963

Time-variation in expected returns

Conrad, Jennifer S. - In: The journal of business : B 61 (1988) 4, pp. 409-425

Persistent link: https://www.econbiz.de/10001060208

Death and jackpot : why do individual investors hold overpriced stocks?

Conrad, Jennifer S.; Kapadia, Nishad; Xing, Yuhang - In: Journal of financial economics 113 (2014) 3, pp. 455-475

Persistent link: https://www.econbiz.de/10010495809

Firm characteristics, consumption risk, and firm-level risk exposures

Dittmar, Robert F.; Lundblad, Christian - In: Journal of financial economics 125 (2017) 2, pp. 326-343

Persistent link: https://www.econbiz.de/10011751743