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A New Value-to-Price Anomaly and the Idiosyncratic Risk Journal article
Korean Accounting Review, 2014,Volume: 39,Issue: 2,Page: 35-76
Authors:  Lee-Seok Hwang;  Byungcherl Charlie Sohn
Favorite  |  View/Download:0/0  |  Submit date:2019/09/04
Abandonment Option  Value-to-price Anomaly  Idiosyncratic Risk  Arbitrage  
Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility Journal article
Journal of Banking and Finance, 2013,Volume: 37,Issue: 5,Page: 1777-1786
Authors:  Wang K.;  Liu J.;  Liu Z.
Favorite  |  View/Download:3/0  |  Submit date:2019/02/14
Co-jump  Co-volatility  High-frequency Finance  Idiosyncratic Jumps  Itô Semi-martingale  Microstructure Noise  Non-synchronous Trading  
Extreme downside risk and expected stock returns Journal article
Journal of Banking and Finance, 2012,Volume: 36,Issue: 5,Page: 1492
Authors:  Huang W.;  Liu Q.;  Ghon Rhee S.;  Wu F.
Favorite  |  View/Download:0/0  |  Submit date:2018/10/30
Bankruptcy risk  Extreme downside risk  Generalized extreme value distribution  Idiosyncratic risk  
Investor Overconfidence and the Increase in Idiosyncratic Risk Journal article
SSRN Electronic Journal, 2012
Authors:  Eric C. Chang;  Yan Luo;  Jinjuan Ren
Favorite  |  View/Download:1/0  |  Submit date:2019/09/25
Overconfidence  Idiosyncratic Risk