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Trading costs and return volatility : evidence from exchange listings

Bessembinder, Hendrik - 1998

Persistent link: https://www.econbiz.de/10000995157

Do stocks outperform Treasury bills?

Bessembinder, Hendrik - In: Journal of financial economics 129 (2018) 3, pp. 440-457

Persistent link: https://www.econbiz.de/10011982278

The "roll yield" myth

Bessembinder, Hendrik - In: Financial analysts' journal : FAJ 74 (2018) 2, pp. 41-53

Persistent link: https://www.econbiz.de/10011879238

Heteroskedasticity in stock returns

Schwert, George William; Seguin, Paul John - 1989

Persistent link: https://www.econbiz.de/10000765828

The marketing of closed-end fund IPOs : evidence from transactions data

Hanley, Kathleen Weiss - In: Journal of financial intermediation 5 (1996) 2, pp. 127-159

Persistent link: https://www.econbiz.de/10001206856

Heteroskedasticity in stock returns

Schwert, George William - In: The journal of finance : the journal of the American … 45 (1990) 4, pp. 1129-1155

Persistent link: https://www.econbiz.de/10001098069

The value of liquidity

Benveniste, Lawrence M.; Capozza, Dennis R.; Seguin, … - In: Real estate economics : journal of the American Real … 29 (2001) 4, pp. 633-660

Persistent link: https://www.econbiz.de/10001715369

"Special issue: Real estate investment trusts"

Capozza, Dennis R. (contributor); … - 2003

Persistent link: https://www.econbiz.de/10001796370

Heteroskedasticity in Stock Returns

Schwert, G. William - 1989

We use predictions of aggregate stock return variances from daily data to estimate time varying monthly variances for size-ranked portfolios. We propose and estimate a single factor model of heteroskedasticity for portfolio returns. This model implies time-varying betas. Implications of...

Persistent link: https://www.econbiz.de/10012476092

Does market structure matter? : trading costs and return volatility around exchange listings

Bessembinder, Hendrik; Rath, Subhrendu - In: Stock market liquidity : implications for market …, (pp. 149-171). 2008

Persistent link: https://www.econbiz.de/10003650512