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Market Created Risk

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  • Kraus, Alan
  • Smith, Maxwell

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Suggested Citation

  • Kraus, Alan & Smith, Maxwell, 1989. " Market Created Risk," Journal of Finance, American Finance Association, vol. 44(3), pages 557-569, July.
  • Handle: RePEc:bla:jfinan:v:44:y:1989:i:3:p:557-69
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    Cited by:

    1. repec:wsi:wschap:9789813148543_0009 is not listed on IDEAS
    2. Massimo Massa & William Goetzmann, 2001. "Heterogeneity of Trade and Stock Returns. Evidence from Index Fund Investors," Yale School of Management Working Papers ysm176, Yale School of Management, revised 01 Nov 2001.
    3. H. Henry Cao & Martin D. D. Evans & Richard K. Lyons, 2017. "Inventory Information," World Scientific Book Chapters,in: Studies in Foreign Exchange Economics, chapter 9, pages 363-413 World Scientific Publishing Co. Pte. Ltd..
    4. Todd Smith, R., 2001. "Price volatility, welfare, and trading hours in asset markets," Journal of Banking & Finance, Elsevier, vol. 25(3), pages 479-503, March.
    5. Goetzmann, William N. & Massa, Massimo, 2005. "Dispersion of opinion and stock returns," Journal of Financial Markets, Elsevier, vol. 8(3), pages 324-349, August.
    6. Goetzmann, William N. & Massa, Massimo, 2002. "Daily Momentum and Contrarian Behavior of Index Fund Investors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(03), pages 375-389, September.
    7. Aggarwal, Raj & Gruca, Edward, 1993. "Intraday Trading Patterns in the Equity Options Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(4), pages 285-297, Winter.
    8. Barlevy, Gadi & Veronesi, Pietro, 2003. "Rational panics and stock market crashes," Journal of Economic Theory, Elsevier, vol. 110(2), pages 234-263, June.
    9. Frankel, David M., 2007. "Adaptive Expectations and Stock Market Crashes," Staff General Research Papers Archive 12817, Iowa State University, Department of Economics.
    10. Siokis, Fotios M., 2012. "Stock market dynamics: Before and after stock market crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1315-1322.
    11. Alex Dontoh & Suresh Radhakrishnan & Joshua Ronen, 2007. "Is stock price a good measure for assessing value-relevance of earnings? An empirical test," Review of Managerial Science, Springer, vol. 1(1), pages 3-45, April.
    12. Romer, David, 1993. "Rational Asset-Price Movements without News," American Economic Review, American Economic Association, vol. 83(5), pages 1112-1130, December.
    13. Wongchoti, Udomsak & Wu, Fei & Young, Martin, 2009. "Buy and sell dynamics following high market returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 12-20, March.
    14. Kapopoulos, Panayotis & Siokis, Fotios, 2005. "Stock market crashes and dynamics of aftershocks," Economics Letters, Elsevier, vol. 89(1), pages 48-54, October.
    15. Massimo Massa & William Goetzmann, 2001. "Dispersion of Opinion and Stock Returns: Evidence from Index Fund Investors," Yale School of Management Working Papers ysm227, Yale School of Management, revised 01 May 2003.
    16. Jeffrey Hobbs & Hei Wai Lee & Vivek Singh, 2017. "New evidence on the effect of belief heterogeneity on stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 289-309, February.

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