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Citations for "Smart Money, Noise Trading and Stock Price Behaviour" by Campbell, John Y & Kyle, Albert S
For a complete description of this item, click here .
Cited by (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.): Laurent Deville & Fabrice Riva, 2007.
"Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach ,"
Post-Print
halshs-00162221_v1, HAL.
[Downloadable!]
Matthew O. Jackson & James Peck, 1997.
"Asymmetric Information in a Competitive Market Game: Reexamining the Implications of Rational Expectations ,"
Microeconomics
9711004, EconWPA.
[Downloadable!]
Other versions: Steve Bond & Alexander Klemm & Rain Newton-Smith & Murtaza Syed & Gertjan Vlieghe, 2004.
"The roles of expected profitability, Tobin's Q and cash flow in econometric models of company investment ,"
IFS Working Papers
W04/12, Institute for Fiscal Studies.
[Downloadable!]
Other versions: Stephen Bond, 2000.
"Noisy Share Prices and the Q Model of Investment ,"
Econometric Society World Congress 2000 Contributed Papers
1320, Econometric Society.
[Downloadable!]
Other versions: John Y. Campbell, 1991.
"A Variance Decomposition for Stock Returns ,"
NBER Working Papers
3246, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Zhang, Ge, 2004.
"Market valuation and employee stock options ,"
Working Papers
2003-13, University of New Orleans, Department of Economics and Finance.
[Downloadable!]
Eric Ghysels & Andrew Harvey & Éric Renault, 1995.
"Stochastic Volatility ,"
CIRANO Working Papers
95s-49, CIRANO.
[Downloadable!]
Other versions:
Ghysels, E. & Harvey, A. & Renault, E., 1996.
"Stochastic Volatility ,"
Cahiers de recherche
9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Ghysels, E. & Harvey, A. & Renault, E., 1996.
"Stochastic Volatility ,"
Cahiers de recherche
9613, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] Ghysels, E. & Harvey, A. & Renault, E., 1995.
"Stochastic Volatility ,"
Papers
95.400, Toulouse - GREMAQ.
Christine Greenhalgh & Mark Rogers, 2006.
"Trade Marks and Market Value in UK Firms ,"
Melbourne Institute Working Paper Series
wp2006n04, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
[Downloadable!]
Yacine Ait-Sahalia, 1996.
"Dynamic Equilibrium and Volatility in Financial Asset Markets ,"
NBER Working Papers
5479, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Yacine Aït-Sahalia, .
"Dynamic Equilibrium and Volatility in Financial Asset Markets ,"
CRSP working papers
331, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
Ait-Sahalia, Yacine, 1998.
"Dynamic equilibrium and volatility in financial asset markets ,"
Journal of Econometrics ,
Elsevier, vol. 84(1), pages 93-127, May.
[Downloadable!] (restricted) J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989.
"The Size and Incidence of the Losses from Noise Trading ,"
NBER Working Papers
2875, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Matthew Spiegel, 1996.
"Stock Price Volatility in a Multiple Security Overlapping Generations Model ,"
Finance
9608002, EconWPA.
[Downloadable!]
Mark Kamstra, 2003.
"Pricing firms on the basis of fundamentals ,"
Economic Review ,
Federal Reserve Bank of Atlanta, issue Q1, pages 49-70.
[Downloadable!]
Campbell, John Y & Chacko, George & Rodriguez, Jorge & Viceira, Luis M, 2003.
"Strategic Asset Allocation in a Continuous Time VAR Model ,"
CEPR Discussion Papers
4160, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
John Y. Campbell & George Chacko & Jorge Rodriguez & Luis M. Viciera, 2003.
"Strategic Asset Allocation in a Continuous-Time VAR Model ,"
NBER Working Papers
9547, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Campbell, John Y. & Chacko, George & Rodriguez, Jorge & Viceira, Luis M., 2004.
"Strategic asset allocation in a continuous-time VAR model ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 28(11), pages 2195-2214, October.
[Downloadable!] (restricted) Shin, Hyun Song, 2002.
"Disclosures and Asset Returns ,"
CEPR Discussion Papers
3345, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1992.
"Trading Volume and Serial Correlation in Stock Returns ,"
NBER Working Papers
4193, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Flynn, Sean M., 2005.
"Noise-trader Risk: Does it Deter Arbitrage, and Is it Priced? ,"
Vassar College Department of Economics Working Paper Series
69, Vassar College Department of Economics.
[Downloadable!]
Xibin Zhang & Maxwell L. King, 2004.
"Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors ,"
Monash Econometrics and Business Statistics Working Papers
26/04, Monash University, Department of Econometrics and Business Statistics.
[Downloadable!]
Tro Kortian, 1995.
"Modern Approaches to Asset Price Formation: A Survey of Recent Theoretical Literature ,"
RBA Research Discussion Papers
rdp9501, Reserve Bank of Australia.
[Downloadable!]
Robert Chirinko & Hisham Foad, 2006.
"Noise vs. News in Equity Returns ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo GmbH.
[Downloadable!]
Other versions: Andrei Shleifer & Robert W. Vishny, 1995.
"The Limits of Arbitrage ,"
NBER Working Papers
5167, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Andrei Shleifer ad Robert W. Vishny, 1995.
"The Limits of Arbitrage ,"
Harvard Institute of Economic Research Working Papers
1725, Harvard - Institute of Economic Research.
Shleifer, Andrei & Vishny, Robert W, 1997.
" The Limits of Arbitrage ,"
Journal of Finance ,
American Finance Association, vol. 52(1), pages 35-55, March.
[Downloadable!] (restricted) Rui Albuquerque & Gregory H. Bauer & Martin Schneider, 2004.
"International Equity Flows and Returns: A Quantitative Equilibrium Approach ,"
Working Papers
04-42, Bank of Canada.
[Downloadable!]
Other versions:
Albuquerque, Rui & Bauer, Gregory & Schneider, Martin, 2005.
"International Equity Flows and Returns: A Quantitative Equilibrium Approach ,"
CEPR Discussion Papers
5159, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Rui Albuquerque & Gregory H. Bauer & Martin Schneider, 2005.
"International equity flows and returns: a quantitative equilibrium approach ,"
International Finance
0508006, EconWPA.
[Downloadable!] Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004.
"International Equity Flows and Returns: A Quantitative Equilibrium Approach ,"
International Finance
0405006, EconWPA.
[Downloadable!] Rui Albuquerque & Gregory H. Bauer & Martin Schneider, 2004.
"International equity flows and returns: A quantitative equilibrium approach ,"
Working Paper Series
310, European Central Bank.
[Downloadable!] Rui Albuquerque & Gregory H. Bauer & Martin Schneider, 2007.
"International Equity Flows and Returns: A Quantitative Equilibrium Approach ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 74(1), pages 1-30, 01.
[Downloadable!] (restricted) Massoud Heidari & Liuren WU, 2002.
"Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? ,"
Finance
0207013, EconWPA.
[Downloadable!]
Peter Carr & Liuren Wu, 2002.
"Time-Changed Levy Processes and Option Pricing ,"
Finance
0207011, EconWPA.
[Downloadable!]
Other versions: Peter Carr & Liuren Wu, 2004.
"Variance Risk Premia ,"
Finance
0409015, EconWPA.
[Downloadable!]
John Y. Campbell & Luis M. Viceira, 2001.
"Who Should Buy Long-Term Bonds? ,"
American Economic Review ,
American Economic Association, vol. 91(1), pages 99-127, March.
[Downloadable!] (restricted)
Other versions:
John Y. CAMPBELL & Luis VICEIRA, 1998.
"Who Should Buy Long-Term Bonds? ,"
FAME Research Paper Series
rp5, International Center for Financial Asset Management and Engineering.
[Downloadable!] John Y. Campbell & Luis M. Viceira, 2000.
"Who Should Buy Long-Term Bonds? ,"
Harvard Institute of Economic Research Working Papers
1895, Harvard - Institute of Economic Research.
[Downloadable!] John Y. Campbell & Luis M. Viceira, 1998.
"Who Should Buy Long-Term Bonds? ,"
NBER Working Papers
6801, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Christine Greenhalgh & Mark Rogers, 2007.
"Trade Marks and Performance in UK Firms: Evidence of Schumpeterian Competition through Innovation ,"
Economics Series Working Papers
300, University of Oxford, Department of Economics.
[Downloadable!]
Kenneth A. Froot & Maurice Obstfeld, 1992.
"Intrinsic Bubbles: The Case of Stock Prices ,"
NBER Working Papers
3091, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, .
"The Size and Incidence of Losses from Noise Trading ,"
J. Bradford De Long's Working Papers
_128, University of California at Berkeley, Economics Department.
[Downloadable!]
J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1988.
"The Survival of Noise Traders in Financial Markets ,"
NBER Working Papers
2715, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann,, .
"The Survival of Noise Traders in Financial Markets ,"
J. Bradford De Long's Working Papers
_123, University of California at Berkeley, Economics Department.
[Downloadable!] De Long, J Bradford, et al, 1991.
"The Survival of Noise Traders in Financial Markets ,"
Journal of Business ,
University of Chicago Press, vol. 64(1), pages 1-19, January.
[Downloadable!] (restricted) Schmeling, Maik, 2006.
"Institutional and Individual Sentiment: Smart Money and Noise Trader Risk ,"
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover
dp-337, Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
[Downloadable!]
Other versions: J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989.
"Positive Feedback Investment Strategies and Destabilizing Rational Speculation ,"
NBER Working Papers
2880, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Carl Chiarella & Tony He, 1999.
"Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model ,"
Research Paper Series
18, Quantitative Finance Research Centre, University of Technology, Sydney.
[Downloadable!]
Other versions:
Xue-Zhong He & Carl Chiarella, 1999.
"Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model ,"
Computing in Economics and Finance 1999
223, Society for Computational Economics.
[Downloadable!] Chiarella, Carl & He, Xue-Zhong, 2002.
"Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model ,"
Computational Economics ,
Springer, vol. 19(1), pages 95-132, February.
[Downloadable!] David Gruen & Marianne Gizycki, 1993.
"Explaining Forward Discount Bias: Is it Anchoring? ,"
RBA Research Discussion Papers
rdp9307, Reserve Bank of Australia.
[Downloadable!]
Jing-zhi Huang & Liuren Wu, 2004.
"Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes ,"
Econometric Society 2004 North American Winter Meetings
405, Econometric Society.
[Downloadable!]
Other versions: Xibin Zhang & Maxwell L. King, 2003.
"Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation ,"
Monash Econometrics and Business Statistics Working Papers
10/03, Monash University, Department of Econometrics and Business Statistics.
[Downloadable!]
J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, .
"Noise Trader Risk in Financial Markets ,"
J. Bradford De Long's Working Papers
_124, University of California at Berkeley, Economics Department.
[Downloadable!]
Other versions: Carl Chiarella & Xue-Zhong He, 2000.
"Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker ,"
Research Paper Series
35, Quantitative Finance Research Centre, University of Technology, Sydney.
[Downloadable!]
Hua He & Jiang Wang, 1995.
"Differential Information and Dynamic Behavior of Stock Trading Volume ,"
NBER Working Papers
5010, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Mark Kamstra, 2001.
"Rational exuberance: The fundamentals of pricing firms, from blue chip to “dot com” ,"
Working Paper
2001-21, Federal Reserve Bank of Atlanta.
[Downloadable!]
Javier Gil-Bazo, 2001.
"Optimal Demand For Long-Term Bonds When Returns Are Predictable ,"
Business Economics Working Papers
wb012308, Universidad Carlos III, Departamento de Economía de la Empresa.
[Downloadable!]
Did you know? Citation analysis on IDEAS includes online papers that are freely accessible and whose text could be automatically analyzed, currently about 150000 papers.
This page was last updated on 2008-11-21.
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