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Estimating generalized state density of near-extreme events and its applications in analyzing stock data

Lin, Jin-guan; Huang, Chao; Zhuang, Qing-yun; Zhu, Li-ping - In: Insurance / Mathematics & economics 47 (2010) 1, pp. 13-20

Persistent link: https://www.econbiz.de/10003985370

Micro(structure) before macro? : the predictive power of aggregate illiquidity for stock returns and economic activity

Chen, Yong; Eaton, Gregory W.; Paye, Bradley S. - In: Journal of financial economics 130 (2018) 1, pp. 48-73

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Hedge funds and stock price formation

Cao, Charles Q.; Chen, Yong; Goetzmann, William N.; … - In: Financial analysts' journal : FAJ 74 (2018) 3, pp. 54-68

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Short selling efficiency

Chen, Yong; Da, Zhi; Huang, Dayong - In: Journal of financial economics 145 (2022) 2,2, pp. 387-408

Persistent link: https://www.econbiz.de/10013474363

Hedge Funds and Stock Price Formation

Cao, Charles - 2018

Using comprehensive quarterly data on hedge fund stock holdings, we study the role of hedge funds in the process of stock price formation. We find that hedge funds tend to hold undervalued stocks, and that both hedge fund ownership and their trades are positively related to the degree of stock...

Persistent link: https://www.econbiz.de/10012940152

Research on the efficacy of the iVIX index based on VIX pricing

Huang, Wenli; Zhang, Nan; Chen, Yong; Xu, Yueling - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 8, pp. 1670-1690

Persistent link: https://www.econbiz.de/10014567103