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Tests of option market efficiency : a high frequency data and common volatility component approach

Poon, Ser-Huang; Pope, Peter F. - 1999

Persistent link: https://www.econbiz.de/10001473012

Trading volatility spreads : a test of index option market efficiency

Poon, Ser-Huang; Pope, Peter F. - In: European financial management : the journal of the … 6 (2000) 2, pp. 235-260

Persistent link: https://www.econbiz.de/10001474534

The impact of commodity price risk on firm value : an empirical analysis of corporate commodity price exposures

Bartram, Söhnke M. - In: Multinational finance journal : MF ; quarterly … 9 (2005) 3/4, pp. 161-187

Persistent link: https://www.econbiz.de/10003600239

Why are US stocks more volatile?

Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2011

Persistent link: https://www.econbiz.de/10008906638

How important is financial risk?

Bartram, Söhnke M.; Brown, Gregory W.; Waller, William - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 4, pp. 801-824

Persistent link: https://www.econbiz.de/10011431032

Why does idiosyncratic risk increase with market risk?

Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016

Persistent link: https://www.econbiz.de/10011528647

Why does idiosyncratic risk increase with market risk?

Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...

Persistent link: https://www.econbiz.de/10011520321

Another look at the relationship between cross-market correlation and volatility

Bartram, Söhnke M.; Wang, Yaw-Huei - In: Finance research letters 2 (2005) 2, pp. 75-88

Persistent link: https://www.econbiz.de/10002883183

The impact of the introduction of the euro on foreign exchange rate risk exposures

Bartram, Söhnke M. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002659953

The impact of the introduction of the Euro on foreign exchange rate risk exposures

Bartram, Söhnke M.; Karolyi, G. Andrew - In: Journal of empirical finance 13 (2006) 4/5, pp. 519-549

Persistent link: https://www.econbiz.de/10003370863