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Citations for "Estimating betas from nonsynchronous data"

by Scholes, Myron & Williams, Joseph

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  1. Cyree, Ken B & DeGennaro, Ramon P, 2002. " A Generalized Method for Detecting Abnormal Returns and Changes in Systematic Risk," Review of Quantitative Finance and Accounting, Springer, vol. 19(4), pages 399-416, December.
  2. Harvey, Campbell R. & Lins, Karl V. & Roper, Andrew H., 2004. "The effect of capital structure when expected agency costs are extreme," Journal of Financial Economics, Elsevier, vol. 74(1), pages 3-30, October.
  3. Pablo Fernández & Andrada Bilan, 2013. "110 Common Errors in Company Valuations," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 33-78.
  4. Semushin, Anton & Parshakov, Petr, 2012. "Data frequency and mutual fund performance measures," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 25(1), pages 95-114.
  5. Murtazashvili, Irina & Vozlyublennaia, Nadia, 2012. "The role of data limitations, seasonality and frequency in asset pricing models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 555-574.
  6. Andrew Ang & Joseph Chen & Yuhang Xing, 2006. "Downside Risk," Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1191-1239.
    • Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  7. Sang W. Kim & John H. Rogers, 1995. "International stock price spillovers and market liberalization: evidence from Korea, Japan, and the United States," International Finance Discussion Papers 499, Board of Governors of the Federal Reserve System (U.S.).
  8. Renneboog, L.D.R. & Vanbrabant, P., 2000. "Share Price Reactions to Sporty Performances of Soccer Clubs listed on the London Stock Exchange and the AIM," Discussion Paper 2000-19, Tilburg University, Center for Economic Research.
  9. Hiremath, Gourishankar S, 2009. "Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review," MPRA Paper 46512, University Library of Munich, Germany.
  10. Halim DABBOU & Ahmed SILEM, 2014. "Price Limit and Financial Contagion: Protection or Illusion? The Tunisian Stock Exchange Case," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 54-70.
  11. Ravi Jagannathan & Tongshu Ma, 2003. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1684, 08.
  12. G. William Schwert, 1990. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
  13. Gabriel Hawawini & Donald B. Keim, . "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 7-97, Wharton School Rodney L. White Center for Financial Research.
  14. Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2006. "Party Influence in Congress and the Economy," NBER Working Papers 12751, National Bureau of Economic Research, Inc.
  15. Sias, Richard W. & Starks, Laura T., 1997. "Return autocorrelation and institutional investors," Journal of Financial Economics, Elsevier, vol. 46(1), pages 103-131, October.
  16. De Ridder, Adri & Burnie, David A. & Råsbrant, Jonas, 2012. "Institutional investors' holdings surrounding equity rights offerings," Global Finance Journal, Elsevier, vol. 23(2), pages 125-140.
  17. André Betzer & Markus Doumet & Ulf Rinne, 2011. "How Policy Changes Affect Shareholder Wealth: The Case of the Fukushima Daiichi Nuclear Disaster," Schumpeter Discussion Papers sdp11011, Universitätsbibliothek Wuppertal, University Library.
  18. Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2010. "Long-run cash flow and discount-rate risks in the cross-section of US returns," The European Journal of Finance, Taylor & Francis Journals, vol. 16(3), pages 227-244.
  19. Prather-Kinsey, Jenice, 2006. "Developing countries converging with developed-country accounting standards: Evidence from South Africa and Mexico," The International Journal of Accounting, Elsevier, vol. 41(2), pages 141-162.
  20. Shaun A. Bond & Soosung Hwang & Gianluca Marcato, 2006. "An Analysis of Commercial Real Estate Returns: Is there a Smoothing Puzzle?," Real Estate & Planning Working Papers rep-wp2006-17, Henley Business School, Reading University.
  21. Gauri Ghai & Maria De Boyrie & Shahid Hamid & Arun Prakash, 2001. "Estimation of global systematic risk for securities listed in multiple markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 117-130.
  22. Clougherty, Joseph A & Duso, Tomaso, 2008. "The Impact of Horizontal Mergers on Rivals: Gains to Being Left Outside a Merger," CEPR Discussion Papers 6867, C.E.P.R. Discussion Papers.
  23. Koutmos, Gregory, 1998. "Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets," Journal of Economics and Business, Elsevier, vol. 50(3), pages 277-290, May.
  24. Roberto J. Santillán-Salgado, 2012. "Is the Mexican Stock Market Becoming More Efficient?," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, October.
  25. Andrew W. Lo & A. Craig MacKinlay, 1989. "When are Contrarian Profits Due to Stock Market Overreaction?," NBER Working Papers 2977, National Bureau of Economic Research, Inc.
  26. David Ely & Kenneth Robinson, 2003. "Is the Community Reinvestment Act in Need of Further Reform? Evidence from Equity Markets during the 1995 Reform Process," Journal of Financial Services Research, Springer, vol. 23(1), pages 59-78, February.
  27. Johnson, Shane A. & Sarkar, Salil K., 1996. "The valuation effects of the 1977 Community Reinvestment Act and its enforcement," Journal of Banking & Finance, Elsevier, vol. 20(5), pages 783-803, June.
  28. Gong, Stephen X.H. & Firth, Michael & Cullinane, Kevin, 2006. "The information content of earnings releases by global airlines," Journal of Air Transport Management, Elsevier, vol. 12(2), pages 82-91.
  29. Iraj J. Fooladi & Nargess K. Kayhani, 2003. "Is Entrepreneurship Only About Entering A New Business," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 8(2), pages 1-11, Summer.
  30. Michaely, Roni & Thaler, Richard H & Womack, Kent L, 1995. " Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?," Journal of Finance, American Finance Association, vol. 50(2), pages 573-608, June.
  31. Robert A. Korajczyk & Deborah Lucas & Robert L. McDonald, 1990. "Understanding Stock Price Behavior around the Time of Equity Issues," NBER Chapters, in: Asymmetric Information, Corporate Finance, and Investment, pages 257-278 National Bureau of Economic Research, Inc.
  32. Chi, Li-Chiu & Tang, Tseng-Chung, 2007. "Impact of reorganization announcements on distressed-stock returns," Economic Modelling, Elsevier, vol. 24(5), pages 749-767, September.
  33. Qianqiu Liu, 2009. "On portfolio optimization: How and when do we benefit from high-frequency data?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 560-582.
  34. Chan-Lau, Jorge A. & Ivaschenko, Iryna, 2003. "Asian Flu or Wall Street virus? Tech and non-tech spillovers in the United States and Asia," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 303-322, December.
  35. Humphery-Jenner, Mark L., 2012. "Internal and external discipline following securities class actions," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 151-179.
  36. Steven Heston & K. Rouwenhorst & Roberto Wessels, 2008. "The Role of Beta and Size in the Cross-Section of European Stock Returns," Yale School of Management Working Papers ysm86, Yale School of Management.
  37. Viral Acharya & Robert Engle & Matthew Richardson, 2012. "Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks," American Economic Review, American Economic Association, vol. 102(3), pages 59-64, May.
  38. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
  39. Fayez Elayan & Wei Hsu & Thomas Meyer, 2003. "The informational content of credit rating announcements for share prices in a small market," Journal of Economics and Finance, Springer, vol. 27(3), pages 337-356, September.
  40. Jason Karceski & Steven Ongena & David C. Smith, 2005. "The Impact of Bank Consolidation on Commercial Borrower Welfare," Journal of Finance, American Finance Association, vol. 60(4), pages 2043-2082, 08.
  41. Andrea Frazzini & Lasse H. Pedersen, 2010. "Betting Against Beta," NBER Working Papers 16601, National Bureau of Economic Research, Inc.
  42. Gupta, Atul & Misra, Lalatendu, 2002. "Regulatory learning in failed thrift auctions," Journal of Banking & Finance, Elsevier, vol. 26(4), pages 651-669, April.
  43. Schotman, Peter C. & Zalewska, Anna, 2006. "Non-synchronous trading and testing for market integration in Central European emerging markets," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 462-494, October.
  44. M. Lambert & G. Hübner & P.-A. Michel & H. Olivier, 2006. "International Financial Reporting Standards and Market Efficiency: A European Perspective," LSF Research Working Paper Series 06-04, Luxembourg School of Finance, University of Luxembourg.
  45. Han, Chirok & Cho, Jin Seo & Phillips, Peter C. B., 2011. "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 282-294.
  46. Sumon Kumar Bhaumik & Ekta Selarka, 2008. "Impact of M&A on firm performance in India: Implications for concentration of ownership and insider entrenchment," William Davidson Institute Working Papers Series wp907, William Davidson Institute at the University of Michigan.
  47. Reyes, Mario G., 1999. "Size, time-varying beta, and conditional heteroscedasticity in UK stock returns," Review of Financial Economics, Elsevier, vol. 8(1), pages 1-10, June.
  48. Cable, John & Holland, Kevin, 2000. "Robust vs. OLS estimation of the market model: implications for event studies," Economics Letters, Elsevier, vol. 69(3), pages 385-391, December.
  49. Abhyankar, Abhay & Dunning, Alison, 1999. "Wealth effects of convertible bond and convertible preference share issues: An empirical analysis of the UK market," Journal of Banking & Finance, Elsevier, vol. 23(7), pages 1043-1065, July.
  50. Hamish Anderson & Ben Marshall, 2007. "Takeover motives in a weak regulatory environment surrounding a market shock: a case study of New Zealand with a comparison of Gondhalekar and Bhagwat’s (2003) US findings," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 53-67, July.
  51. Robin Wilber, 2007. "Why do firms repurchase stock to acquire another firm?," Review of Quantitative Finance and Accounting, Springer, vol. 29(2), pages 155-172, August.
  52. Yong Chen & Wayne Ferson & Helen Peters, 2009. "Measuring the Timing Ability and Performance of Bond Mutual Funds," NBER Working Papers 15318, National Bureau of Economic Research, Inc.
  53. S. Sanfelici & M. E. Mancino, 2008. "Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise," Economics Department Working Papers 2008-ME01, Department of Economics, Parma University (Italy).
  54. Robert Brooks & Robert Faff & Tim Fry & Emma Newton, 2004. "Censoring and its impact on multivariate testing of the Capital Asset Pricing Model," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 413-420.
  55. Robert A. Jarrow, 1999. "In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 229-248, Fall.
  56. Entorf, Horst & Steiner, Christian, 2006. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," ZEW Discussion Papers 06-08, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  57. Henke, Harald & Lauterbach, Beni, 2005. "Firm-initiated and exchange-initiated transfers to continuous trading: Evidence from the Warsaw Stock Exchange," Journal of Financial Markets, Elsevier, vol. 8(3), pages 309-323, August.
  58. Caton, Gary L. & Chan, Justin S.P. & Goh, Jeremy & Yang, Sheng-Yung, 2011. "An analysis of Japanese earnings forecast revisions with application to seasoned equity offerings," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 376-387, June.
  59. Cotter, John & Stevenson, Simon, 2007. "Modeling Long Memory in REITs," MPRA Paper 3500, University Library of Munich, Germany.
  60. Wai Mun Fong & Kim Hock See, 2001. "Modelling the conditional volatility of commodity index futures as a regime switching process," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 133-163.
  61. Andrey Kudryavtsev, 2013. "Think About Tomorrow Morning: Opening Stock Returns May Show Reversals," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 16(50), pages 51-64, December.
  62. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Practical volatility and correlation modeling for financial market risk management," CFS Working Paper Series 2005/02, Center for Financial Studies (CFS).
  63. Cable, J & Holland, K, 1996. "Modelling Normal Returns in Event Studies: A Model-Selection Approach and Pilot Study," Working Papers 96-13, University of Wales, Aberystwyth, Department of Economics.
  64. Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2010. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Post-Print hal-00732537, HAL.
  65. Marshall, Ben R. & Cahan, Rochester H., 2005. "Is technical analysis profitable on a stock market which has characteristics that suggest it may be inefficient?," Research in International Business and Finance, Elsevier, vol. 19(3), pages 384-398, September.
  66. Carol J. Simon, 1986. "Investor Information and the Performance of New Issues," UCLA Economics Working Papers 413, UCLA Department of Economics.
  67. Duso, Tomaso & Gugler, Klaus & Yurtoglu, Burcin B., 2006. "EU Merger Remedies: A Preliminary Empirical Assessment," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 81, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
  68. Benjamin Esty & Bhanu Narasimhan & Peter Tufano, 1996. "Interest Rate Exposure and Bank Mergers: A Preliminary Empirical Analysis," Center for Financial Institutions Working Papers 96-45, Wharton School Center for Financial Institutions, University of Pennsylvania.
  69. Jorge A. Chan-Lau & Iryna V. Ivaschenko, 2002. "Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia," IMF Working Papers 02/154, International Monetary Fund.
  70. Harrison Hong & Terence Lim & Jeremy C. Stein, 2000. "Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies," Journal of Finance, American Finance Association, vol. 55(1), pages 265-295, 02.
  71. Joanna Olbrys & Elzbieta Majewska, 2014. "Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 51-70.
  72. David Abad & Antonio Rubia, 1999. "- Evaluation Of The Fixing Trading System In The Spanish Market," Working Papers. Serie EC 1999-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  73. Dmitri Boreiko & Maurizio Murgia, 2013. "European spin-offs Origin, value creation, and long-term performance," BEMPS - Bozen Economics & Management Paper Series BEMPS05, School of Economics and Management at the Free University of Bozen.
  74. Fidrmucova, J. & Goergen, M. & Renneboog, L.D.R., 2005. "Insider Trading, News Releases and Ownership Concentration," Discussion Paper 2005-025, Tilburg University, Tilburg Law and Economic Center.
  75. Dechow, Patricia & Ge, Weili & Schrand, Catherine, 2010. "Understanding earnings quality: A review of the proxies, their determinants and their consequences," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 344-401, December.
  76. Mika Vaihekoski, 2000. "Unconditional international asset pricing models: empirical tests," Finnish Economic Papers, Finnish Economic Association, vol. 13(2), pages 71-88, Autumn.
  77. Cheng Chee Mun, Eugene & Courtenay, Stephen M. & Rahman, Asheq R., 2011. "Effects of prior voluntary disclosure on earnings announcements in an environment with low information and regulation," Pacific-Basin Finance Journal, Elsevier, vol. 19(3), pages 308-329, June.
  78. Michelle L. Barnes & Shiguang Ma, 2002. "The behavior of China's stock prices in response to the proposal and approval of bonus issues," Working Papers 02-1, Federal Reserve Bank of Boston.
  79. Lin, Ji-Chai & Singh, Ajai K. & Yu, Wen, 2009. "Stock splits, trading continuity, and the cost of equity capital," Journal of Financial Economics, Elsevier, vol. 93(3), pages 474-489, September.
  80. Yehuda Izhakian & David Yermack, 2014. "Risk, Ambiguity, and the Exercise of Employee Stock Options," NBER Working Papers 19975, National Bureau of Economic Research, Inc.
  81. Aragon, George O., 2007. "Share restrictions and asset pricing: Evidence from the hedge fund industry," Journal of Financial Economics, Elsevier, vol. 83(1), pages 33-58, January.
  82. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer, vol. 26(1), pages 3-38, March.
  83. Lee, Chin-Chong & Poon, Wai-Ching & Sinnakkannu, Jothee, 2014. "Why are rights offers in Hong Kong so different?," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 176-197.
  84. Cowan, Arnold R. & Sergeant, Anne M. A., 1996. "Trading frequency and event study test specification," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1731-1757, December.
  85. Luís M. S. Coelho & Rúben M. T. Peixinho & Siri Terjensen, 2012. "Going concern opinions are not bad news: Evidence from industry rivals," Working Papers Department of Economics 2012/16, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  86. Alexander Peter Groh & Oliver Gottschalg, 2008. "The Opportunity Cost of Capital of US Buyouts," NBER Working Papers 14148, National Bureau of Economic Research, Inc.
  87. Juan Carlos Gómez-Sala, 2001. "Rentabilidad y liquidez alrededor de la fecha de desdoblamiento de las acciones," Investigaciones Economicas, Fundación SEPI, vol. 25(1), pages 171-202, January.
  88. Allen, D. E. & Cleary, F., 1998. "Determinants of the cross-section of stock returns in the Malaysian stock market," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 253-275.
  89. Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2009. "Option-Implied Measures of Equity Risk," CIRANO Working Papers 2009s-33, CIRANO.
  90. Davies, Phil & Minton, Bernadette & Schrand, Catherine, 2008. "Commodity Price Exposure and Ownerhsip Clienteles," Working Paper Series 2008-7, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  91. Fidrmuc Jana P. & Goergen Marc & Renneborg Luc, 2005. "Insider Trading, News Releases and Ownership Concentration," Working Papers wpn05-03, Warwick Business School, Finance Group.
  92. Chacko, George & Tufano, Peter & Verter, Geoffrey, 2001. "Cephalon, Inc. Taking risk management theory seriously," Journal of Financial Economics, Elsevier, vol. 60(2-3), pages 449-485, May.
  93. De Santis, Giorgio & imrohoroglu, Selahattin, 1997. "Stock returns and volatility in emerging financial markets," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 561-579, August.
  94. Wagner, Niklas & Winter, Elisabeth, 2013. "A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 69-85.
  95. Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, School of Economics and Management, University of Aarhus.
  96. Koutmos, Gregory & Booth, G Geoffrey, 1995. "Asymmetric volatility transmission in international stock markets," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 747-762, December.
  97. Sebastian Auguste & Kathryn M.E. Dominguez & Herman Kamil & Linda L. Tesar, 2002. "Cross-Border Trading as a Mechanism for Capital Flight: ADRs and the Argentine Crisis," William Davidson Institute Working Papers Series 513, William Davidson Institute at the University of Michigan.
  98. Chang, Chiao-Yi, 2013. "The market response of insider transferring trades and firm characteristics in Taiwan," Emerging Markets Review, Elsevier, vol. 16(C), pages 131-144.
  99. Pantzalis, Christos & Stangeland, David A. & Turtle, Harry J., 2000. "Political elections and the resolution of uncertainty: The international evidence," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1575-1604, October.
  100. Hearn, Bruce, 2010. "Time varying size and liquidity effects in South Asian equity markets: A study of blue-chip industry stocks," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 242-257, September.
  101. Muscarella, Chris J. & Piwowar, Michael S., 2001. "Market microstructure and securities values: : Evidence from the Paris Bourse," Journal of Financial Markets, Elsevier, vol. 4(3), pages 209-229, June.
  102. Samuel Mongrut & Jesús Tong, 2005. "Is There a Market Payoff for Being Green at the Lima Stock Exchange?," Working Papers 06-02, Departamento de Economía, Universidad del Pacífico, revised Jan 2006.
  103. Oberndorfer, Ulrich, 2009. "Energy prices, volatility, and the stock market: Evidence from the Eurozone," Energy Policy, Elsevier, vol. 37(12), pages 5787-5795, December.
  104. Marshall, Ben R. & Cahan, Jared M. & Cahan, Rochester H., 2006. "Is the CRISMA technical trading system profitable?," Global Finance Journal, Elsevier, vol. 17(2), pages 271-281, December.
  105. Coutinho, João Ricardo Ribeiro & Sheng, Hsia Hua & Lora, Mayra Ivanoff, 2012. "The use of Fx derivatives and the cost of capital: Evidence of Brazilian companies," Emerging Markets Review, Elsevier, vol. 13(4), pages 411-423.
  106. Doan, Phuong & Lin, Chien-Ting & Zurbruegg, Ralf, 2010. "Pricing assets with higher moments: Evidence from the Australian and us stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 51-67, February.
  107. Victor Fang & Chien-Ting Lin & Warren Poon, 2007. "An examination of Australian gold mining firms’ exposure over the collapse of gold price in the late 1990s," Accounting Research Journal, Emerald Group Publishing, vol. 15(2), pages 37-49, June.
  108. Nofsinger, John R. & Varma, Abhishek, 2013. "Availability, recency, and sophistication in the repurchasing behavior of retail investors," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2572-2585.
  109. Laivi Laidroo & Zana Grigaliuniene, 2012. "Testing for asymmetries in price reactions to quarterly earnings announcements on Tallinn, Riga and Vilnius Stock Exchanges during 2000-2009," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 12(1), pages 61- 86, July.
  110. Walter, Andreas & Eisele, Florian, 2003. "Kurswertreaktionen auf die Ankündigung von Going Private : Transaktionen am deutschen Kapitalmarkt," Tübinger Diskussionsbeiträge 274, University of Tübingen, School of Business and Economics.
  111. Attiya Y. Javid & Eatzaz Ahmad, 2008. "The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:48, Pakistan Institute of Development Economics.
  112. Hearn, Bruce, 2011. "Size and liquidity effects in Japanese regional stock markets," Journal of the Japanese and International Economies, Elsevier, vol. 25(2), pages 157-181, June.
  113. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, HEC Paris.
  114. Joanna Olbrys, 2013. "Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 49(S2), pages 145-157, March.
  115. Schotman, Peter C & Zalewska, Ania, 2005. "Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets," CEPR Discussion Papers 5352, C.E.P.R. Discussion Papers.
  116. Edward J. LUSK & Michael HALPERIN & Niya STEFANOVA & Atanas TETIKOV, 2011. "Investigation of: "Shopping in the Market-beta Mall"," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 1(5), pages 9, August.
  117. Larry Prather & Ting-Heng Chu & Paul Bayes, 2009. "Market reactions to announcements to expense options," Journal of Economics and Finance, Springer, vol. 33(3), pages 223-245, July.
  118. Siegel, Phyllis A. & Brockner, Joel, 2005. "Individual and organizational consequences of CEO claimed handicapping: What's good for the CEO may not be so good for the firm," Organizational Behavior and Human Decision Processes, Elsevier, vol. 96(1), pages 1-22, January.
  119. Cornett, Marcia Millon & Davidson, Wallace III & Rangan, Nanda, 1996. "Deregulation in investment banking: Industry concentration following Rule 415," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 85-113, January.
  120. Chen, Yong & Ferson, Wayne & Peters, Helen, 2010. "Measuring the timing ability and performance of bond mutual funds," Journal of Financial Economics, Elsevier, vol. 98(1), pages 72-89, October.
  121. Kenneth A. Froot & Andre F. Perold, 1990. "New Trading Practices and Short-run Market Efficiency," NBER Working Papers 3498, National Bureau of Economic Research, Inc.
  122. Oberndorfer, Ulrich, 2008. "EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry," ZEW Discussion Papers 08-059, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  123. Silvio John Camilleri, 2005. "Can a Stock Index be Less Efficient than Underlying Shares? An Analysis Using Malta Stock Exchange Data," Finance 0507006, EconWPA.
  124. Bessembinder, Hendrik & Chan, Kalok, 1995. "The profitability of technical trading rules in the Asian stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 257-284, July.
  125. Charles P. Himmelberg & R. Glenn Hubbard & Darius Palia, 2000. "Understanding the Determinants of Managerial Ownership and the Link Between Ownership and Performance," NBER Working Papers 7209, National Bureau of Economic Research, Inc.
  126. Panagiotis Fotis & Michael Polemis & Nikolaos Zevgolis, 2011. "Robust Event Studies for Derogation from Suspension of Concentrations in Greece during the Period 1995–2008," Journal of Industry, Competition and Trade, Springer, vol. 11(1), pages 67-89, March.
  127. Auguste, Sebastian & Dominguez, Kathryn M.E. & Kamil, Herman & Tesar, Linda L., 2006. "Cross-border trading as a mechanism for implicit capital flight: ADRs and the Argentine crisis," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1259-1295, October.
  128. Michiel de Pooter & Martin Martens & Dick van Dijk, 2005. "Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?," Tinbergen Institute Discussion Papers 05-089/4, Tinbergen Institute, revised 03 Jan 2006.
  129. John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," NBER Working Papers 11389, National Bureau of Economic Research, Inc.
  130. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446.
  131. Christian Leuz & Catherine Schrand, 2009. "Disclosure and the Cost of Capital: Evidence from Firms’ Responses to the Enron Shock," NBER Working Papers 14897, National Bureau of Economic Research, Inc.
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  133. Krishnan, C.N.V. & Ergungor, O. Emre & Laux, Paul A. & Singh, Ajai K. & Zebedee, Allan A., 2010. "Examining bank SEOs: Are offers made by undercapitalized banks different?," Journal of Financial Intermediation, Elsevier, vol. 19(2), pages 207-234, April.
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