IDEAS home Printed from https://ideas.repec.org/f/c/pzh586.html
   My authors  Follow this author

Harold Huibing Zhang

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Chongyang Chen & Zhonglan Dai & Douglas A. Shackelford & Harold H. Zhang, 2012. "Does Financial Constraint Affect Shareholder Taxes and the Cost of Equity Capital?," Working Papers 1202, Oxford University Centre for Business Taxation.

    Cited by:

    1. Nicolae BIBU & Ariana Lavinia MOS, 2012. "Leadership Style in the Romanian Public Institutions – the Case of City Halls," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 13(1), pages 66-80, March.
    2. Lewis H. K. Tam, 2014. "The impacts of parent’s listing status on subsidiary’s financial constraint and cost of equity capital: the case of equity carve-outs," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 54(1), pages 275-299, March.

  2. Cao, Henry & Han, Bing & Hirshleifer, David & Zhang, Harold, 2007. "Fear of the Unknown: Familiarity and Economic Decisions," MPRA Paper 6512, University Library of Munich, Germany.

    Cited by:

    1. Jarl G. Kallberg & Yoshiki Shimizu, 2023. "Acquisitions and the Opportunity Set," The Journal of Real Estate Finance and Economics, Springer, vol. 66(4), pages 904-938, May.
    2. R. Balasubramanian & Brajesh Kumar, 2023. "Equity Home Bias in Emerging and Advanced Economies: Trend Before and During COVID-19," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 29(4), pages 261-275, November.
    3. Abou Tanos, Barbara & Jimenez-Garcès, Sonia, 2022. "Foreign investments during financial crises: Institutional investors’ informational skills create value when familiarity does not," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    4. Füllbrunn, Sascha & Rau, Holger A. & Weitzel, Utz, 2014. "Does ambiguity aversion survive in experimental asset markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 810-826.
    5. Füss, Roland & Ruf, Daniel, 2022. "Information precision and return co-movements in private commercial real estate markets," Journal of Banking & Finance, Elsevier, vol. 138(C).
    6. Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz, 2013. "Do ambiguity effects survive in experimental asset markets?," MPRA Paper 44700, University Library of Munich, Germany.
    7. Jiang, Danling & Norris, Dylan & Sun, Lin, 2021. "Weather, institutional investors and earnings news," Journal of Corporate Finance, Elsevier, vol. 69(C).
    8. Roee Teper, 2010. "Probabilistic Dominance and Status Quo Bias," Working Paper 5864, Department of Economics, University of Pittsburgh.
    9. Hui Chen & Nengjiu Ju & Jianjun Miao, 2014. "Dynamic Asset Allocation with Ambiguous Return Predictability," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 799-823, October.
    10. Junyong Lee & Kyounghun Lee & Frederick Dongchuhl Oh, 2023. "Religion and Equity Home Bias," Open Economies Review, Springer, vol. 34(5), pages 1015-1038, November.
    11. Lin, Wen & Nayga, Rodolfo M., 2022. "Green identity labeling, environmental information, and pro-environmental food choices," Food Policy, Elsevier, vol. 106(C).
    12. Anna Bottasso & Sébastien Duchêne & Eric Guerci & Nobuyuki Hanaki & Charles Noussair, 2022. "Higher order risk attitudes of financial experts," Post-Print hal-03664148, HAL.
    13. Hirshleifer, David & Teoh, Siew Hong, 2008. "Thought and Behavior Contagion in Capital Markets," MPRA Paper 9142, University Library of Munich, Germany.
    14. C. S. Richard Chan & Annaleena Parhankangas, 2017. "Crowdfunding Innovative Ideas: How Incremental and Radical Innovativeness Influence Funding Outcomes," Entrepreneurship Theory and Practice, , vol. 41(2), pages 237-263, March.
    15. David Hirshleifer & Chong Huang & Siew Hong Teoh, 2017. "Index Investing and Asset Pricing under Information Asymmetry and Ambiguity Aversion," NBER Working Papers 24143, National Bureau of Economic Research, Inc.
    16. Hirshleifer, David, 2014. "Behavioral Finance," MPRA Paper 59028, University Library of Munich, Germany.
    17. Oliphant, Wesley & Ma, Hong, 2021. "Applying Behavioral Economics to microcredit in China’s rural areas," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    18. Siegel, Jordan I. & Licht, Amir N. & Schwartz, Shalom H., 2011. "Egalitarianism and international investment," Journal of Financial Economics, Elsevier, vol. 102(3), pages 621-642.
    19. Chincarini, Ludwig B. & Kim, Daehwan & Moneta, Fabio, 2020. "Beta and firm age," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 50-74.
    20. Salaber, Julie, 2013. "Religion and returns in Europe," European Journal of Political Economy, Elsevier, vol. 32(C), pages 149-160.
    21. Bruno Solnik & Luo Zuo, 2012. "A Global Equilibrium Asset Pricing Model with Home Preference," Management Science, INFORMS, vol. 58(2), pages 273-292, February.
    22. Huizinga, Harry & Todtenhaupt, Maximilian & Voget, Johannes & Wagner, Wolf, 2019. "Taxation and the External Wealth of Nations: Evidence from Bilateral Portfolio Holdings," CEPR Discussion Papers 14096, C.E.P.R. Discussion Papers.
    23. Dlugosch, Dennis & Horn, Kristian & Wang, Mei, 2023. "New experimental evidence on the relationship between home bias, ambiguity aversion and familiarity heuristics," Journal of Economics and Business, Elsevier, vol. 125.
    24. Zhu, Zhaobo & Qi, Zhenyan & Jin, Yi, 2023. "Familiarity bias and economic decisions: Evidence from a survey experiment," Economics Letters, Elsevier, vol. 229(C).
    25. David Hirshleifer, 2008. "Psychological Bias as a Driver of Financial Regulation," European Financial Management, European Financial Management Association, vol. 14(5), pages 856-874, November.
    26. Yashu Dong & Danqing Young & Yinglei Zhang, 2021. "Familiarity bias and earnings-based equity valuation," Review of Quantitative Finance and Accounting, Springer, vol. 57(2), pages 795-818, August.
    27. Yuree Lim & Kyoung Tae Kim, 2019. "Afraid of the stock market," Review of Quantitative Finance and Accounting, Springer, vol. 53(3), pages 773-810, October.
    28. Dimmock, Stephen G. & Kouwenberg, Roy & Mitchell, Olivia S. & Peijnenburg, Kim, 2016. "Ambiguity aversion and household portfolio choice puzzles: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 119(3), pages 559-577.
    29. Goodell, John W. & Vähämaa, Sami, 2013. "US presidential elections and implied volatility: The role of political uncertainty," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1108-1117.
    30. Ding, Rong & Hou, Wenxuan, 2015. "Retail investor attention and stock liquidity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 12-26.
    31. Ammann, Manuel & Cochardt, Alexander Elmar & Straumann, Simon & Weigert, Florian, 2022. "Back to the roots: Ancestral origin and mutual fund manager portfolio choice," CFR Working Papers 22-04, University of Cologne, Centre for Financial Research (CFR).
    32. Riella, Gil & Teper, Roee, 2014. "Probabilistic dominance and status quo bias," Games and Economic Behavior, Elsevier, vol. 87(C), pages 288-304.
    33. Gerlach, Johannes M. & Lutz, Julia K.T., 2021. "Digital financial advice solutions – Evidence on factors affecting the future usage intention and the moderating effect of experience," Journal of Economics and Business, Elsevier, vol. 117(C).
    34. Liu, Shasha & Zhao, Huixian & Kong, Gaowen, 2023. "Enterprise digital transformation, breadth of ownership and stock price volatility," International Review of Financial Analysis, Elsevier, vol. 89(C).
    35. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
    36. Baltzer, Markus & Stolper, Oscar & Walter, Andreas, 2011. "Home-field advantage or a matter of ambiguity aversion? Local bias among German individual investors," Discussion Paper Series 1: Economic Studies 2011,23, Deutsche Bundesbank.
    37. So, Jacky Yuk-chow & Zhang, John Fan, 2022. "The effect of cultural heterogeneity on cash holdings of multinational businesses," Research in International Business and Finance, Elsevier, vol. 61(C).
    38. Claudia Ravanelli & Gregor Svindland, 2019. "Ambiguity sensitive preferences in Ellsberg frameworks," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 67(1), pages 53-89, February.
    39. Jagannathan, Murali & Jiao, Wei & Karolyi, G. Andrew, 2022. "Is there a home field advantage in global markets?," Journal of Financial Economics, Elsevier, vol. 143(2), pages 742-770.
    40. Mihaela Constantinescu & Andreea Orindaru & Andreea Pachitanu & Laura Rosca & Stefan-Claudiu Caescu & Mihai Cristian Orzan, 2019. "Attitude Evaluation on Using the Neuromarketing Approach in Social Media: Matching Company’s Purposes and Consumer’s Benefits for Sustainable Business Growth," Sustainability, MDPI, vol. 11(24), pages 1-21, December.
    41. Jelena Cerar & Benoit Decreton & Phillip C. Nell, 2023. "What's in a Name? How Senior Managers use Name‐Based Heuristics to Allocate Financial Resources in Multinational Corporations," Journal of Management Studies, Wiley Blackwell, vol. 60(5), pages 1147-1177, July.
    42. David C. Ling & Chongyu Wang & Tingyu Zhou, 2021. "The Geography of Real Property Information and Investment: Firm Location, Asset Location and Institutional Ownership," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 287-331, March.
    43. Fang Liu, 2021. "Regret theory under fear of the unknown," Papers 2108.01825, arXiv.org.
    44. Lee, Junyong & Lee, Kyounghun & Oh, Frederick Dongchuhl, 2023. "International portfolio diversification and the home bias puzzle," Research in International Business and Finance, Elsevier, vol. 64(C).

  3. Zhonglan Dai & Edward Maydew & Douglas A. Shackelford & Harold H. Zhang, 2006. "Capital Gains Taxes and Asset Prices: Capitalization or Lock-In?," NBER Working Papers 12342, National Bureau of Economic Research, Inc.

    Cited by:

    1. Harry Huizinga & Johannes Voget & Wolf Wagner, 2012. "International Taxation and Cross-Border Banking," NBER Chapters, in: Business Taxation (Trans-Atlantic Public Economics Seminar), National Bureau of Economic Research, Inc.
    2. Jacob, Martin, 2008. "Welche privaten Veräußerungsgewinne sollten besteuert werden?," arqus Discussion Papers in Quantitative Tax Research 49, arqus - Arbeitskreis Quantitative Steuerlehre.
    3. Todtenhaupt, Maximilian & Voget, Johannes & Feld, Lars P. & Ruf, Martin & Schreiber, Ulrich, 2020. "Taxing away M&A: Capital gains taxation and acquisition activity," Munich Reprints in Economics 84733, University of Munich, Department of Economics.
    4. Sebastian Eichfelder & Mona Lau, 2015. "Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns," FEMM Working Papers 150019, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    5. Feld, Lars P. & Ruf, Martin & Schreiber, Ulrich & Todtenhaupt, Maximilian & Voget, Johannes, 2016. "Taxing away M&A: The effect of corporate capital gains taxes on acquisition activity," Freiburg Discussion Papers on Constitutional Economics 16/03, Walter Eucken Institut e.V..
    6. Cho, Myeonghwan, 2014. "The effect of capital gains taxation on small business transfers and start-ups," Economic Modelling, Elsevier, vol. 36(C), pages 447-454.
    7. Ross M. Batzer & Jonah Coste & William M. Doerner & Michael J. Seiler, 2024. "The Lock-In Effect of Rising Mortgage Rates," FHFA Staff Working Papers 24-03, Federal Housing Finance Agency.
    8. Eichfelder, Sebastian & Lau, Mona, 2014. "Capital gains taxes and asset prices: The impact of tax awareness and procrastination," arqus Discussion Papers in Quantitative Tax Research 170, arqus - Arbeitskreis Quantitative Steuerlehre.
    9. Astrup Jensen, Bjarne & Marekwica, Marcel, 2011. "Optimal portfolio choice with wash sale constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1916-1937.
    10. Wu, Yuliang & Li, Youwei, 2011. "Long-term return reversals--Value and growth or tax? UK evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 347-368, July.
    11. Clemens Sialm, 2009. "Tax Changes and Asset Pricing," American Economic Review, American Economic Association, vol. 99(4), pages 1356-1383, September.
    12. Schneider, Georg & Sureth, Caren, 2010. "The impact of profit taxation on capitalized investment with options to delay and divest," arqus Discussion Papers in Quantitative Tax Research 97, arqus - Arbeitskreis Quantitative Steuerlehre.
    13. Stimmelmayr, Michael & Liberini, Federica & Russo, Antonio, 2015. "The Role of Toeholds and Capital Gain Taxes for Corporate Acquisition Strategies," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112926, Verein für Socialpolitik / German Economic Association.
    14. Jie Chen & Mingzhi Hu, 2019. "What types of homeowners are more likely to be entrepreneurs? The evidence from China," Small Business Economics, Springer, vol. 52(3), pages 633-649, March.
    15. Kontoghiorghes, Alex, 2022. "Do personal taxes affect investment decisions and stock returns?," Bank of England working papers 988, Bank of England.
    16. Hail, Luzi & Sikes, Stephanie & Wang, Clare, 2017. "Cross-country evidence on the relation between capital gains taxes, risk, and expected returns," Journal of Public Economics, Elsevier, vol. 151(C), pages 56-73.
    17. Denis Gorea, 2013. "Tax Avoidance, Welfare Transfers, and Asset Prices," 2013 Meeting Papers 1054, Society for Economic Dynamics.
    18. Annika Hegemann & Angela Kunoth & Kristina Rupp & Caren Sureth-Sloane, 2017. "Hold or sell? How capital gains taxation affects holding decisions," Review of Managerial Science, Springer, vol. 11(3), pages 571-603, July.
    19. Bergner, Sören Martin & Bräutigam, Rainer & Evers, Maria Theresia & Spengel, Christoph, 2017. "The use of SME tax incentives in the European Union," ZEW Discussion Papers 17-006, ZEW - Leibniz Centre for European Economic Research.
    20. He, Eric & Jacob, Martin & Vashishtha, Rahul & Venkatachalam, Mohan, 2022. "Does differential taxation of short-term relative to long-term capital gains affect long-term investment?," Journal of Accounting and Economics, Elsevier, vol. 74(1).
    21. McDowell, Shaun & Lee, John B. & Marsden, Alastair, 2020. "The potential effect of taxes on the equity home bias in New Zealand PIEs," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    22. Choi, Paul Moon Sub & Chung, Chune Young & Kim, Dongnyoung, 2020. "Corporate tax, financial leverage, and portfolio risk," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    23. Hui Shan, 2008. "The effect of capital gains taxation on home sales: evidence from the Taxpayer Relief Act of 1997," Finance and Economics Discussion Series 2008-53, Board of Governors of the Federal Reserve System (U.S.).
    24. Chyz, James A. & Li, Oliver Zhen, 2012. "Do Tax Sensitive Investors Liquidate Appreciated Shares After a Capital Gains Tax Rate Reduction?," National Tax Journal, National Tax Association;National Tax Journal, vol. 65(3), pages 595-627, September.
    25. Hasan, M. Emrul & Klein, Peter, 2022. "The capital gain lock-in effect and seasoned equity offerings," Journal of Banking & Finance, Elsevier, vol. 138(C).
    26. Martin Jacob, 2018. "Tax Regimes and Capital Gains Realizations," European Accounting Review, Taylor & Francis Journals, vol. 27(1), pages 1-21, January.
    27. Dean Hanlon & Sean Pinder, 2013. "Capital gains tax, supply-driven trading and ownership structure: direct evidence of the lock-in effect," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 419-439, June.
    28. Chongyang Chen & Zhonglan Dai & Douglas A. Shackelford & Harold H. Zhang, 2012. "Does Financial Constraint Affect Shareholder Taxes and the Cost of Equity Capital?," Working Papers 1202, Oxford University Centre for Business Taxation.
    29. Landon, Stuart, 2009. "The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds," MPRA Paper 15467, University Library of Munich, Germany.
    30. Savina Princen & Athena Kalyva & Alexander Leodolter & Cécile Denis & Adriana Reut & Andreas Thiemann & Viginta Ivaskaite-Tamosiune, 2020. "Taxation of Household Capital in EU Member States Impact on Economic Efficiency, Revenue and Redistribution," European Economy - Discussion Papers 130, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    31. Cataldo, Anthony J., 2009. "Updated stock index and market seasonals (SIMS) 3.0 data base includes two international control measures," Research in Accounting Regulation, Elsevier, vol. 21(2), pages 107-110.
    32. Ainsworth, Andrew & Lee, Adrian D., 2023. "Sharing the dividend tax credit pie: The influence of individual investors on ex-dividend day returns," Journal of Financial Markets, Elsevier, vol. 62(C).
    33. Jean Bédard & Daniel Coulombe & Suzanne M. Paquette, 2007. "Tax Incentives on Equity and Firms' Cost of Capital: Evidence from the Quebec Stock Savings Plan," Contemporary Accounting Research, John Wiley & Sons, vol. 24(3), pages 795-824, September.
    34. Claudio A. Agostini & Mariel C. Siravegna, 2010. "Efectos de la Exención Tributaria a las Ganancias de Capital en el Precio de las Acciones en Chile," Serie de Documentos de Trabajo 07, Superintendencia de Valores y Seguros.
    35. Jacob, Martin, 2014. "Cross-base tax elasticity of capital gains," arqus Discussion Papers in Quantitative Tax Research 169, arqus - Arbeitskreis Quantitative Steuerlehre.
    36. Wojciech Kopczuk, 2012. "Taxation of Intergenerational Transfers and Wealth," NBER Working Papers 18584, National Bureau of Economic Research, Inc.
    37. Smith, Steven & Singleton, Ron, 2023. "Gold and tax capitalization: A natural experiment," Advances in accounting, Elsevier, vol. 62(C).
    38. Hegemann, Annika, 2016. "Hemmt die Veräußerungsgewinnbesteuerung unternehmerische Flexibilität?," arqus Discussion Papers in Quantitative Tax Research 203, arqus - Arbeitskreis Quantitative Steuerlehre.
    39. Dimmock, Stephen G. & Feng, Fan & Zhang, Huai, 2023. "Mutual funds' capital gains lock-in and earnings management," Journal of Corporate Finance, Elsevier, vol. 80(C).
    40. Eichfelder, Sebastian & Lau, Mona, 2015. "Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns," arqus Discussion Papers in Quantitative Tax Research 195, arqus - Arbeitskreis Quantitative Steuerlehre.
    41. Francesco Menoncin & Paolo Panteghini, 2008. "The Johansson-Samuelson Theorem in General Equilibrium: A Rebuttal," CESifo Working Paper Series 2352, CESifo.
    42. Masanori Orihara, 2023. "Election-Day Market Reactions to Tax Proposals: Evidence from a Close Vote," Working Papers 2219, Waseda University, Faculty of Political Science and Economics.
    43. Jacob, Martin, 2011. "Tax Regimes and Capital Gains Realizations," Working Paper Series, Center for Fiscal Studies 2011:9, Uppsala University, Department of Economics.
    44. Hanlon, Michelle & Heitzman, Shane, 2010. "A review of tax research," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 127-178, December.
    45. Goldman, Nathan C. & Ozel, Naim Bugra, 2023. "Executive compensation, individual-level tax rates, and insider trading profits," Journal of Accounting and Economics, Elsevier, vol. 76(1).
    46. Eichfelder, Sebastian & Lau, Mona, 2014. "Capital gains taxes and asset prices: The impact of tax awareness and procrastination," Discussion Papers 2014/17, Free University Berlin, School of Business & Economics.
    47. Edwards, Alexander & Todtenhaupt, Maximilian, 2018. "Capital gains taxation and funding for start-ups," ZEW Discussion Papers 18-046, ZEW - Leibniz Centre for European Economic Research.
    48. Huizinga, Harry & Voget, Johannes & Wagner, Wolf, 2018. "Capital gains taxation and the cost of capital: Evidence from unanticipated cross-border transfers of tax base," Journal of Financial Economics, Elsevier, vol. 129(2), pages 306-328.
    49. Hegemann, Annika & Kunoth, Angela & Rupp, Kristina & Sureth, Caren, 2015. "Impact of capital gains taxation on the holding period of investments under different tax systems," arqus Discussion Papers in Quantitative Tax Research 183, arqus - Arbeitskreis Quantitative Steuerlehre.
    50. Edwards, Alexander & Todtenhaupt, Maximilian, 2020. "Capital gains taxation and funding for start-ups," Journal of Financial Economics, Elsevier, vol. 138(2), pages 549-571.
    51. Anthony M. Diercks & William Waller, 2017. "Taxes and the Fed : Theory and Evidence from Equities," Finance and Economics Discussion Series 2017-104, Board of Governors of the Federal Reserve System (U.S.).
    52. Ryan T. Ball, 2013. "Does Anticipated Information Impose a Cost on Risk‐Averse Investors? A Test of the Hirshleifer Effect," Journal of Accounting Research, Wiley Blackwell, vol. 51(1), pages 31-66, March.
    53. Agapova, Anna & Volkov, Nikanor, 2021. "Asymmetric tax-induced trading: The effect of capital gains tax changes," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 245-259.
    54. Niemann, Rainer & Sureth, Caren, 2009. "Investment effects of capital gains taxation under simultaneous investment and abandonment flexibility," arqus Discussion Papers in Quantitative Tax Research 77, arqus - Arbeitskreis Quantitative Steuerlehre.
    55. Buhlmann, Florian & Doerrenberg, Philipp & Voget, Johannes & Loos, Benjamin, 2020. "How do taxes affect the trading behavior of private investors? Evidence from individual portfolio data," ZEW Discussion Papers 20-047, ZEW - Leibniz Centre for European Economic Research.
    56. Nianzhi Guo & Ping‐Wen Sun & Huiqin Xiao, 2023. "Influence of dividend tax policy tied to investment horizon on stock price stability: Evidence from the 2015 dividend tax reform in China," International Review of Finance, International Review of Finance Ltd., vol. 23(3), pages 524-552, September.
    57. Jin, Li & Kothari, S.P., 2008. "Effect of personal taxes on managers' decisions to sell their stock," Journal of Accounting and Economics, Elsevier, vol. 46(1), pages 23-46, September.
    58. Eichfelder, Sebastian & Lau, Mona, 2015. "Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns," Discussion Papers 2015/33, Free University Berlin, School of Business & Economics.
    59. Dieci, Roberto & Gardini, Laura & Westerhoff, Frank, 2022. "On the destabilizing nature of capital gains taxes," International Review of Financial Analysis, Elsevier, vol. 83(C).
    60. Kyösti Pietola & Sami Myyrä & Eija Pouta, 2011. "The Effects of Changes in Capital Gains Taxes on Land Sales: Empirical Evidence from Finland," Land Economics, University of Wisconsin Press, vol. 87(4), pages 582-594.
    61. Holcomb, Alex & Mason, Paul & Zhang, Harold H., 2020. "Investment income taxes and private equity acquisition activity," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 25-51.
    62. Gary, Robert F. & Moore, Jared A. & Sisneros, Craig A. & Terando, William D., 2016. "The impact of tax rate changes on intercorporate investment," Advances in accounting, Elsevier, vol. 34(C), pages 55-63.

  4. Chester Spatt & Robert Dammon & Harold Zhang, 1998. "Optimal Consumption and Investment with Capital Gains Taxes," GSIA Working Papers 1999-16, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Francisco Gomes & Alexander Michaelides, 2003. "Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 729-766, October.
    2. Gomes, Francisco & Michaelides, Alexander, 2003. "Optimal life-cycle asset allocation: understanding the empirical evidence," LSE Research Online Documents on Economics 24900, London School of Economics and Political Science, LSE Library.
    3. Harry Huizinga & Johannes Voget & Wolf Wagner, 2012. "International Taxation and Cross-Border Banking," NBER Chapters, in: Business Taxation (Trans-Atlantic Public Economics Seminar), National Bureau of Economic Research, Inc.
    4. Victor DeMiguel & Raman Uppal, 2005. "Portfolio Investment with the Exact Tax Basis via Nonlinear Programming," Management Science, INFORMS, vol. 51(2), pages 277-290, February.
    5. Najafi, Amir Abbas & Pourahmadi, Zahra, 2016. "An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 154-162.
    6. Cho, Myeonghwan, 2014. "The effect of capital gains taxation on small business transfers and start-ups," Economic Modelling, Elsevier, vol. 36(C), pages 447-454.
    7. Paul Ehling & Michael Gallmeyer & Sanjay Srivastava & Stathis Tompaidis & Chunyu Yang, 2018. "Portfolio Tax Trading with Carryover Losses," Management Science, INFORMS, vol. 64(9), pages 4156-4176, September.
    8. John Y. Campbell & Yeung Lewis Chan & Luis M. Viceira, 2001. "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers 8566, National Bureau of Economic Research, Inc.
    9. Astrup Jensen, Bjarne & Marekwica, Marcel, 2011. "Optimal portfolio choice with wash sale constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1916-1937.
    10. Clemens Sialm, 2009. "Tax Changes and Asset Pricing," American Economic Review, American Economic Association, vol. 99(4), pages 1356-1383, September.
    11. Marekwica, Marcel, 2012. "Optimal tax-timing and asset allocation when tax rebates on capital losses are limited," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2048-2063.
    12. Engelhardt, Gary V. & Kumar, Anil, 2007. "Employer matching and 401(k) saving: Evidence from the health and retirement study," Journal of Public Economics, Elsevier, vol. 91(10), pages 1920-1943, November.
    13. Birge, John R. & Yang, Song, 2007. "A model for tax advantages of portfolios with many assets," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3269-3290, November.
    14. Norman Schürhoff, 2005. "Capital Gains Taxes, Irreversible Investment, and Capital Structure," FAME Research Paper Series rp131, International Center for Financial Asset Management and Engineering.
    15. Mihir Desai & William M. Gentry, 2003. "The Character and Determinants of Corporate Capital Gains," NBER Working Papers 10153, National Bureau of Economic Research, Inc.
    16. Campbell, John, 2006. "Household Finance," Scholarly Articles 3157877, Harvard University Department of Economics.
    17. Levy, Haim & Levy, Moshe, 2021. "The cost of diversification over time, and a simple way to improve target-date funds," Journal of Banking & Finance, Elsevier, vol. 122(C).
    18. Denis Gorea, 2013. "Tax Avoidance, Welfare Transfers, and Asset Prices," 2013 Meeting Papers 1054, Society for Economic Dynamics.
    19. Alexis Anagnostopoulos & Orhan Erem Atesagaoglu & Eva Carceles-Poveda, 2018. "Financing Corporate Tax Cuts with Shareholder Taxes," Department of Economics Working Papers 18-07, Stony Brook University, Department of Economics.
    20. Jules Binsbergen & Michael Brandt, 2007. "Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 355-367, May.
    21. Horneff, Wolfram J. & Maurer, Raimond H. & Stamos, Michael Z., 2008. "Life-cycle asset allocation with annuity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3590-3612, November.
    22. Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.
    23. David G. Kenchington, 2019. "Does a change in dividend tax rates in the U.S. affect equity prices of non-U.S. stocks?," Review of Accounting Studies, Springer, vol. 24(2), pages 593-628, June.
    24. Sheng Guo & William Hardin, 2015. "Financial and Housing Wealth, Expenditures and the Dividend to Ownership," Working Papers 1506, Florida International University, Department of Economics.
    25. Hans Fehr, 2009. "Computable Stochastic Equilibrium Models and Their Use in Pension- and Ageing Research," De Economist, Springer, vol. 157(4), pages 359-416, December.
    26. Miquel Faig & Pauline Shum, 2000. "Portfolio Choice in the Presence of Personal Illiquid Projects," Working Papers faig-00-03, University of Toronto, Department of Economics.
    27. Kang, Johnny & Pekkala, Tapio & Polk, Christopher & Ribeiro, Ruy, 2011. "Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year," LSE Research Online Documents on Economics 43096, London School of Economics and Political Science, LSE Library.
    28. Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchel & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," Working Papers wp177, University of Michigan, Michigan Retirement Research Center.
    29. Mohammadali Fallah & Palani‐Rajan Kadapakkam, 2023. "Long‐term capital gains taxes and stock prices: Evidence from India," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3033-3054, July.
    30. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
    31. Babkin, Anton & Glover, Brent & Levine, Oliver, 2017. "Are corporate inversions good for shareholders?," Journal of Financial Economics, Elsevier, vol. 126(2), pages 227-251.
    32. Mathias Sommer, 2005. "Trends in German households’ portfolio behavior - assessing the importance of age- and cohort-effects," MEA discussion paper series 05082, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
    33. Schindler, Dirk, 2002. "Besteuerung des Nichts: Steuerarbitrage und das schwindende Aufkommen bei Kapitaleinkommensteuern," CoFE Discussion Papers 02/16, University of Konstanz, Center of Finance and Econometrics (CoFE).
    34. Fischer, Marcel & Kraft, Holger & Munk, Claus, 2013. "Asset allocation over the life cycle: How much do taxes matter?," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2217-2240.
    35. Lorenz, Daniela, 2009. "Portfolioauswahl bei Besteuerung realisierter Kursänderungen," Discussion Papers 2009/17, Free University Berlin, School of Business & Economics.
    36. Nicholas Moehle & Mykel J. Kochenderfer & Stephen Boyd & Andrew Ang, 2021. "Tax-Aware Portfolio Construction via Convex Optimization," Journal of Optimization Theory and Applications, Springer, vol. 189(2), pages 364-383, May.
    37. Zeida, Teegawende H., 2019. "On the corporate tax reform: Coordination and trade-offs," Journal of Macroeconomics, Elsevier, vol. 62(C).
    38. Green, Richard C. & Hollifield, Burton, 2003. "The personal-tax advantages of equity," Journal of Financial Economics, Elsevier, vol. 67(2), pages 175-216, February.
    39. Alexis Anagnostopoulos & Orhan Erem Atesagaoglu & Eva Carceles-Poveda, 2014. "On the Double Taxation of Corporate Profits," Department of Economics Working Papers 14-03, Stony Brook University, Department of Economics.
    40. Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchell & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," NBER Working Papers 14055, National Bureau of Economic Research, Inc.
    41. Maarten Meeuwis & Jonathan A. Parker & Antoinette Schoar & Duncan I. Simester, 2018. "Belief Disagreement and Portfolio Choice," NBER Working Papers 25108, National Bureau of Economic Research, Inc.
    42. V. V. Chari & Mikhail Golosov & Aleh Tsyvinski, 2005. "Business Start-ups, The Lock-in Effect, and Capital Gains Taxation," Levine's Bibliography 784828000000000439, UCLA Department of Economics.
    43. Lora Dimitrova & Sapnoti K Eswar, 2023. "Capital Gains Tax, Venture Capital, and Innovation in Start-Ups," Review of Finance, European Finance Association, vol. 27(4), pages 1471-1519.
    44. David M. Schizer & Michael R. Powers & Martin Shubik, 2003. "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Yale School of Management Working Papers ysm356, Yale School of Management.
    45. Baojun Bian & Xinfu Chen & Min Dai & Shuaijie Qian, 2021. "Penalty method for portfolio selection with capital gains tax," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 1013-1055, July.
    46. Claudio A. Agostini & Mariel C. Siravegna, 2010. "Efectos de la Exención Tributaria a las Ganancias de Capital en el Precio de las Acciones en Chile," Serie de Documentos de Trabajo 07, Superintendencia de Valores y Seguros.
    47. Daniel Giamouridis & Athanasios Sakkas & Nikolaos Tessaromatis, 2017. "Dynamic Asset Allocation with Liabilities," European Financial Management, European Financial Management Association, vol. 23(2), pages 254-291, March.
    48. Huaxiong Huang & Moshe A. Milevsky & Jin Wang, 2008. "Portfolio Choice and Life Insurance: The CRRA Case," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(4), pages 847-872, December.
    49. Michael Brennan & Feifei Li & Walter Torous, 2005. "Dollar Cost Averaging," Review of Finance, Springer, vol. 9(4), pages 509-535, December.
    50. Moshe Milevsky, 2004. "A diffusive wander through human life," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 21-23.
    51. Orhan Atesagaoglu & Eva Carceles-Poveda & Alexis Anagnostopoulos, 2014. "Capital Income Taxation with Household and Firm Heterogeneity," 2014 Meeting Papers 525, Society for Economic Dynamics.
    52. James M. Poterba, 2001. "Taxation, Risk-Taking, and Household Portfolio Behavior," NBER Working Papers 8340, National Bureau of Economic Research, Inc.
    53. Fischer, Marcel & Gallmeyer, Michael F., 2016. "Heuristic portfolio trading rules with capital gain taxes," Journal of Financial Economics, Elsevier, vol. 119(3), pages 611-625.
    54. Marekwica, Marcel & Schaefer, Alexander & Sebastian, Steffen, 2013. "Life cycle asset allocation in the presence of housing and tax-deferred investing," Journal of Economic Dynamics and Control, Elsevier, vol. 37(6), pages 1110-1125.
    55. Hanlon, Michelle & Heitzman, Shane, 2010. "A review of tax research," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 127-178, December.
    56. Koo, Ja Eun & Lim, Byung Hwa, 2021. "Consumption and life insurance decisions under hyperbolic discounting and taxation," Economic Modelling, Elsevier, vol. 94(C), pages 288-295.
    57. Wolfram Horneff & Raimond Maurer & Michael Stamos, 2006. "Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?," Working Papers wp146, University of Michigan, Michigan Retirement Research Center.
    58. Ali Akbar Gholizadeh, 2014. "Capital Gains Tax and Housing Price Bubble: A Cross-Country Study," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 18(2), pages 47-71, Spring.
    59. Huizinga, Harry & Voget, Johannes & Wagner, Wolf, 2018. "Capital gains taxation and the cost of capital: Evidence from unanticipated cross-border transfers of tax base," Journal of Financial Economics, Elsevier, vol. 129(2), pages 306-328.
    60. Frank Seifried, 2010. "Optimal investment with deferred capital gains taxes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(1), pages 181-199, February.
    61. Jaime A. Londo~no, 2006. "State Dependent Utility," Papers math/0603316, arXiv.org.
    62. Levy, Haim & Levy, Moshe, 2021. "Stocks versus bonds for the long run when a riskless asset is available," Journal of Banking & Finance, Elsevier, vol. 133(C).
    63. Jiatu Cai & Xinfu Chen & Min Dai, 2018. "Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching," Management Science, INFORMS, vol. 64(5), pages 2308-2324, May.
    64. Lally, Martin, 2011. "Optimal dividend policy, debt policy and the level of investment within a multi-period DCF framework," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 21-40, January.
    65. Kempkes, Gerhard & Stähler, Nikolai, 2021. "Re-allocating taxing rights and minimum tax rates in international profit taxation," Discussion Papers 03/2021, Deutsche Bundesbank.
    66. McKeever, Daniel & Rydqvist, Kristian, 2022. "Tax-loss harvesting under uncertainty," Journal of Banking & Finance, Elsevier, vol. 140(C).
    67. Thakurata, Indrajit, 2021. "Optimal portfolio choice with stock market entry costs and human capital investments: A developing country model," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 175-195.
    68. Lee, Zu-Hsu & Deng, Shiming & Lin, Beixin & Yang, James G.S., 2010. "Decision model and analysis for investment interest expense deduction and allocation," European Journal of Operational Research, Elsevier, vol. 200(1), pages 268-280, January.
    69. Jin, Li & Kothari, S.P., 2008. "Effect of personal taxes on managers' decisions to sell their stock," Journal of Accounting and Economics, Elsevier, vol. 46(1), pages 23-46, September.
    70. Nicholas Moehle & Mykel J. Kochenderfer & Stephen Boyd & Andrew Ang, 2020. "Tax-Aware Portfolio Construction via Convex Optimization," Papers 2008.04985, arXiv.org, revised Feb 2021.
    71. Liangliang Liu, 2021. "Fiscal decentralization and the imbalance between consumption and investment in China," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 66(1), pages 1-17, February.
    72. Martin Haugh & Garud Iyengar & Chun Wang, 2016. "Tax-Aware Dynamic Asset Allocation," Operations Research, INFORMS, vol. 64(4), pages 849-866, August.

  5. Ming Liu & Harold H. Zhang, 1997. "Overparameterization in the Seminonparametric Density Estimation," GSIA Working Papers 197, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Foster, Joshua, 2022. "Semi-nonparametric estimation of secret reserve prices in auctions," Economics Letters, Elsevier, vol. 220(C).

  6. Amir Yaron & Harold Zhang, 1995. "Fixed Costs and Asset Market Participation," GSIA Working Papers 1997-25, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Guvenen, Fatih, 2006. "Reconciling conflicting evidence on the elasticity of intertemporal substitution: A macroeconomic perspective," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1451-1472, October.
    2. Alberto Naudon & Matías Tapia, 2004. "Ignorance, Fixed Costs, and the Stock Market Participation Puzzle," Econometric Society 2004 Latin American Meetings 252, Econometric Society.

  7. Sloan, Frank & Harold H. Zhang, 1995. "Upstream Intergenerational Transfers," Working Papers 95-15, Duke University, Department of Economics.

    Cited by:

    1. Edwin Van Gameren & Durfari Velandia Naranjo, 2012. "Working and caring. The simultaneous decision of labor force participation, informal long-term care and childcare services in Mexico," Serie documentos de trabajo del Centro de Estudios Económicos 2012-16, El Colegio de México, Centro de Estudios Económicos.
    2. Tamai, Toshiki, 2023. "The rate of discount on public investments with future bias in an altruistic overlapping generations model," European Journal of Political Economy, Elsevier, vol. 79(C).
    3. Nizalova, Olena Y., 2010. "The Wage Elasticity of Informal Care Supply: Evidence from the Health and Retirement Study," IZA Discussion Papers 5192, Institute of Labor Economics (IZA).
    4. Jinkook Lee & Hyungsoo Kim, 2008. "A longitudinal analysis of the impact of health shocks on the wealth of elders," Journal of Population Economics, Springer;European Society for Population Economics, vol. 21(1), pages 217-230, January.
    5. Didem Bernard & Thomas Selden & Yuriy Pylypchuk, 2017. "The Distribution of Public Spending for Health Care in the United States on the Eve of Health Reform," NBER Working Papers 23150, National Bureau of Economic Research, Inc.
    6. Manon Domingues Dos Santos & François-Charles Wolff, 2010. "Pourquoi les immigrés portugais veulent-ils tant retourner au pays ?," Économie et Prévision, Programme National Persée, vol. 195(4), pages 1-14.
    7. Jessamyn Schaller & Chase Eck, 2019. "Adverse Life Events and Intergenerational Transfers," Upjohn Working Papers 19-309, W.E. Upjohn Institute for Employment Research.
    8. Costa-Font, Joan & Jiménez-Martín, Sergi & Vilaplana-Prieto, Cristina, 2022. "Do Public Caregiving Subsidies and Supports affect the Provision of Care and Transfers?," Journal of Health Economics, Elsevier, vol. 84(C).
    9. Pascal Belan & Pierre-Jean Messe & François-Charles Wolff, 2010. "Postponing retirement age and labor force participation : the role of family transfers," Discussion Papers (REL - Recherches Economiques de Louvain) 2010041, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).

  8. Zhang, H.H., 1995. "Endogenous Short Sale Constraint, Stock Prices and Output Cycles," GSIA Working Papers 1995-26, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Zhang, Harold H., 2000. "Explaining bond returns in heterogeneous agent models: The importance of higher-order moments," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1381-1404, September.
    2. Judd, Kenneth L. & Kubler, Felix & Schmedders, Karl, 2000. "Computing equilibria in infinite-horizon finance economies: The case of one asset," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 1047-1078, June.
    3. Ábrahám, Árpád & Cárceles-Poveda, Eva, 2010. "Endogenous trading constraints with incomplete asset markets," Journal of Economic Theory, Elsevier, vol. 145(3), pages 974-1004, May.
    4. Ryle Perera, 2013. "Optimal investment, consumption–leisure, insurance and retirement choice," Annals of Finance, Springer, vol. 9(4), pages 689-723, November.
    5. Sarolli, Gian Domenico, 2015. "Cleaning the gears: Counter-cyclical asset trading with financial transactions taxes," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 110-122.
    6. Eva Carceles Poveda & Arpad Abraham, 2009. "Tax Reform with Endogenous Borrowing Limits and Incomplete Asset Markets," 2009 Meeting Papers 1196, Society for Economic Dynamics.

  9. Tauchen, George E. & Harold Zhang & Ming Liu, 1995. "Volume, Volatility and Leverage: A Dynamic Analysis," Working Papers 95-02, Duke University, Department of Economics.

    Cited by:

    1. Antonio A. F. Santos, 2021. "Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 455-479, February.
    2. Paolo Girardello & Orietta Nicolis & Giovanni Tondini, 2003. "Comparing Conditional Variance Models: Theory and Empirical Evidence," Multinational Finance Journal, Multinational Finance Journal, vol. 7(3-4), pages 177-206, September.
    3. Lüders, Erik, 2002. "Why Are Asset Returns Predictable?," ZEW Discussion Papers 02-48, ZEW - Leibniz Centre for European Economic Research.
    4. Lucy Amigo Dobaño & Francisco Rodríguez de Prado, 2003. "Alteraciones en el comportamiento bursátil de las acciones de empresas tecnológicas inducidas por el vencimiento de derivados," Working Papers 0308, Universidade de Vigo, Departamento de Economía Aplicada.
    5. Zhang, Harold H., 2000. "Explaining bond returns in heterogeneous agent models: The importance of higher-order moments," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1381-1404, September.
    6. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015. "Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE 2015-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    7. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2017. "Volatility spillover and multivariate volatility impulse response analysis of GFC news events," Applied Economics, Taylor & Francis Journals, vol. 49(33), pages 3246-3262, July.
    8. Dzieliński, Michał & Rieger, Marc Oliver & Talpsepp, Tõnn, 2018. "Asymmetric attention and volatility asymmetry," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 59-67.
    9. Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2011. "Balance Sheet Capacity and Endogenous Risk," FMG Discussion Papers dp665, Financial Markets Group.
    10. Yu, Jun, 2012. "A semiparametric stochastic volatility model," Journal of Econometrics, Elsevier, vol. 167(2), pages 473-482.
    11. Pieter J. Van Der Sluis, 1998. "Computationally attractive stability tests for the efficient method of moments," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 203-227.
    12. Liu, Ming & Zhang, Harold H., 1998. "Overparameterization in the seminonparametric density estimation," Economics Letters, Elsevier, vol. 60(1), pages 11-18, July.
    13. Ming Liu & Harold H. Zhang, "undated". "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," Computing in Economics and Finance 1997 93, Society for Computational Economics.
    14. Terence D. Agbeyegbe, 2015. "An inverted U‐shaped crude oil price return‐implied volatility relationship," Review of Financial Economics, John Wiley & Sons, vol. 27(1), pages 28-45, November.
    15. Fredj Jawadi & Waël Louhichi & Abdoulkarim Idi Cheffou & Rivo Randrianarivony, 2016. "Intraday jumps and trading volume: a nonlinear Tobit specification," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1167-1186, November.
    16. Smith, Geoffrey Peter, 2016. "Weekday variation in the leverage effect: A puzzle," Finance Research Letters, Elsevier, vol. 17(C), pages 193-196.
    17. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.).
    18. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2020. "Economic indicators and stock market volatility in an emerging economy," Economic Systems, Elsevier, vol. 44(2).
    19. Koubaa, Yosra & Slim, Skander, 2019. "The relationship between trading activity and stock market volatility: Does the volume threshold matter?," Economic Modelling, Elsevier, vol. 82(C), pages 168-184.
    20. Simon Gervais & Ron Kaniel & Dan Mingelgrin, "undated". "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 01-99, Wharton School Rodney L. White Center for Financial Research.
    21. Eric Aldrich, 2012. "Trading Volume in General Equilibrium with Complete Markets," 2012 Meeting Papers 36, Society for Economic Dynamics.
    22. Kelly, David L. & Steigerwald, Douglas G, 2003. "Private Information and High-Frequency Stochastic Volatility," University of California at Santa Barbara, Economics Working Paper Series qt00n4h4mw, Department of Economics, UC Santa Barbara.
    23. Chaiyuth Padungsaksawasdi & Robert T. Daigler, 2014. "The Return‐Implied Volatility Relation for Commodity ETFs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(3), pages 261-281, March.
    24. Donggyu Kim & Minseok Shin, 2023. "Volatility models for stylized facts of high‐frequency financial data," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(3), pages 262-279, May.
    25. Jawadi Fredj & Ureche-Rangau Loredana, 2013. "Threshold linkages between volatility and trading volume: evidence from developed and emerging markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 313-333, May.
    26. Michael Frömmel & Eyup Kadioglu, 2023. "Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
    27. Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016. "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 105-128.
    28. Thomakos, Dimitrios D. & Wang, Tao, 2003. "Realized volatility in the futures markets," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 321-353, May.
    29. Liesenfeld, Roman, 2001. "A generalized bivariate mixture model for stock price volatility and trading volume," Journal of Econometrics, Elsevier, vol. 104(1), pages 141-178, August.
    30. Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
    31. Marcos Alvarez Díaz & Lucy Amigo Dobano & Francisco Rodríguez de Prado, "undated". "Taxing on Housing: A Welfare Evaluation of the Spanish Personal Income Tax," Studies on the Spanish Economy 142, FEDEA.
    32. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
    33. Bollerslev, Tim & Zhou, Hao, 2006. "Volatility puzzles: a simple framework for gauging return-volatility regressions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 123-150.
    34. P. Girardello & Orietta Nicolis & Giovanni Tondini, 2002. "Comparing conditional variance models: Theory and empirical evidence," Departmental Working Papers 2002-08, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    35. Eli Arditi & Eldad Yechiam & Gal Zahavi, 2015. "Association between Stock Market Gains and Losses and Google Searches," PLOS ONE, Public Library of Science, vol. 10(10), pages 1-12, October.
    36. Talpsepp, Tõnn & Rieger, Marc Oliver, 2010. "Explaining asymmetric volatility around the world," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 938-956, December.
    37. Hibbert, Ann Marie & Daigler, Robert T. & Dupoyet, Brice, 2008. "A behavioral explanation for the negative asymmetric return-volatility relation," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2254-2266, October.
    38. Dridi, Ramdan & Guay, Alain & Renault, Eric, 2007. "Indirect inference and calibration of dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, vol. 136(2), pages 397-430, February.
    39. Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.
    40. Fong, Wai Mun, 2003. "Time reversibility tests of volume-volatility dynamics for stock returns," Economics Letters, Elsevier, vol. 81(1), pages 39-45, October.
    41. Marcos Álvarez-Díaz & Lucy Amigo Dobaño, 2003. "Métodos No-Lineales De Predicción En El Mercado De Valores Tecnológicos En España. Una Verificación De La Hipótesis Débil De Eficiencia," Working Papers 0303, Universidade de Vigo, Departamento de Economía Aplicada.
    42. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2690-2703, October.
    43. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
    44. Mixon, Scott, 2001. "Volume and Volatility: News or Noise?," The Financial Review, Eastern Finance Association, vol. 36(4), pages 99-118, November.
    45. Beum‐Jo Park, 2007. "Trading Volume, Volatility, And Garch Effects In The South Korean Won/Us Dollar Exchange Market: Evidence From Conditional Quantile Estimation," The Japanese Economic Review, Japanese Economic Association, vol. 58(3), pages 382-399, September.
    46. Curato, Imma Valentina & Sanfelici, Simona, 2022. "Stochastic leverage effect in high-frequency data: a Fourier based analysis," Econometrics and Statistics, Elsevier, vol. 23(C), pages 53-82.
    47. Vo, Minh & Cohen, Michael & Boulter, Terry, 2015. "Asymmetric risk and return: Evidence from the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 558-573.

  10. Zhang, H.H., 1995. "Endogenous Borrowing Constraints with Incomplete Markets," GSIA Working Papers 1995-25, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
    2. Dirk Krueger & Fabrizio Perri, 2002. "Does Income Inequality Lead to Consumption Inequality? Evidence and Theory," NBER Working Papers 9202, National Bureau of Economic Research, Inc.
    3. Grier, Kevin & Sutter, Daniel, 2007. "External influences on economic reform: Reform as a regional public good," European Journal of Political Economy, Elsevier, vol. 23(3), pages 660-673, September.
    4. Matteo Iacoviello, 2008. "Household Debt and Income Inequality, 1963-2003," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 929-965, August.
    5. Mengus, Eric & Roberto Pancrazi, 2015. "The Inequality Accelerator," Economic Research Papers 270216, University of Warwick - Department of Economics.
    6. Zhang, Harold H., 2000. "Explaining bond returns in heterogeneous agent models: The importance of higher-order moments," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1381-1404, September.
    7. Kjetil Storesletten & Chris Telmer & Amir Yaron, 2007. "Asset Pricing with Idiosyncratic Risk and Overlapping Generations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(4), pages 519-548, October.
    8. Koppl, Thorsten V., 2006. "Risk sharing through financial markets with endogenous enforcement of trades," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 1987-2014, November.
    9. François Le Grand & Xavier Ragot, 2017. "Sovereign Default and Liquidity: the Case for a World Safe Asset," Working Papers hal-03471758, HAL.
    10. Nelnan Koumtingué & Rui Castro, 2009. "On the Optimality of Economic Integration," 2009 Meeting Papers 1043, Society for Economic Dynamics.
    11. Victor Filipe Martins da Rocha & Yiannis Vailakis, 2012. "Endogenous debt constraints in collateralized economies with default penalties," Post-Print hal-00664551, HAL.
    12. Antonio Antunes & Valerio Ercolani, 2020. "Public debt expansions and the dynamics of the household borrowing constraint," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 1-32, July.
    13. Bloise, Gaetano & Polemarchakis, Herakles & Vailakis, Yiannis, 2016. "Sovereign debt and incentives to default with uninsurable risks," Economic Research Papers 269718, University of Warwick - Department of Economics.
    14. Bloise, G. & Citanna, A., 2019. "Asset shortages, liquidity and speculative bubbles," Journal of Economic Theory, Elsevier, vol. 183(C), pages 952-990.
    15. Kabderian Dreyer, Johannes & Sharma, Vivek & Smith, William, 2023. "Warm-glow investment and the underperformance of green stocks," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 546-570.
    16. Carré, Sylvain & Cohen, Daniel & Villemot, Sébastien, 2019. "The sources of sovereign risk: a calibration based on Lévy stochastic processes," Journal of International Economics, Elsevier, vol. 118(C), pages 31-43.
    17. Kartik Athreya & Xuan S. Tam & Eric R. Young, 2012. "A Quantitative Theory of Information and Unsecured Credit," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(3), pages 153-183, July.
    18. Röhrs, Sigrid & Winter, Christoph, 2015. "Public versus private provision of liquidity: Is there a trade-off?," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 314-339.
    19. Gregorio Caetano & Miguel Palacios & Harry A. Patrinos, 2019. "Measuring Aversion to Debt: An Experiment Among Student Loan Candidates," Journal of Family and Economic Issues, Springer, vol. 40(1), pages 117-131, March.
    20. Tobias Broer & Marek Kapièka & Paul Klein, 2015. "Consumption Risk Sharing with Private Information and Limited Enforcement," CERGE-EI Working Papers wp531, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    21. Franz Hamann, 2002. "Sovereign Risk and Macroeconomic Fluctuations," Borradores de Economia 3520, Banco de la Republica.
    22. Hansen, Lars Peter, 2013. "Risk Pricing over Alternative Investment Horizons," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1571-1611, Elsevier.
    23. Xuanhua Xu & Bin Pan, 2010. "Capital liquidity and residents’ consumption decision: An asymmetry analysis of economic prosperity," Frontiers of Economics in China, Springer;Higher Education Press, vol. 5(4), pages 622-639, December.
    24. João F. Gomes & Amir Yaron & Lu Zhang, 2006. "Asset Pricing Implications of Firms' Financing Constraints," The Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1321-1356.
    25. Castro, Rui & Koumtingué, Nelnan, 2014. "On the individual optimality of economic integration," Journal of Monetary Economics, Elsevier, vol. 68(C), pages 115-135.
    26. Braido, Luis H.B., 2008. "Trading constraints penalizing default: A recursive approach," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 157-166, January.
    27. Arellano, Cristina & Heathcote, Jonathan, 2010. "Dollarization and financial integration," Journal of Economic Theory, Elsevier, vol. 145(3), pages 944-973, May.
    28. Cristina Arellano, 2005. "Default Risk, the Real Exchange Rate and Income Fluctuations in Emerging Economies," 2005 Meeting Papers 516, Society for Economic Dynamics.
    29. Harenberg, Daniel, 2018. "Asset pricing in OLG economies with borrowing constraints and idiosyncratic income risk," SAFE Working Paper Series 229, Leibniz Institute for Financial Research SAFE.
    30. V. Filipe Martins-Da-Rocha & Toan Phan & Yiannis Vailakis, 2022. "Pecuniary Externalities in Competitive Economies with Limited Pledgeability," Working Papers hal-03909596, HAL.
    31. Gondo, Rocío, 2013. "Default Externalities in Emerging Market Systemic Private Debt Crises," Working Papers 2013-023, Banco Central de Reserva del Perú.
    32. Xavier Mateos-Planas & Giulio Seccia, 2014. "Consumer default with complete markets: default-based pricing and finite punishment," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(3), pages 549-583, August.
    33. Juha Ilmari Seppala, 2000. "The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds," Econometric Society World Congress 2000 Contributed Papers 0245, Econometric Society.
    34. Agnirup Sarkar, 2020. "Market capitalization and growth with nominal and real rigidities: the case of emerging economies," Indian Economic Review, Springer, vol. 55(2), pages 165-198, December.
    35. Tobias Broer & Marek Kapicka & Paul Klein, 2016. "Online Appendix to "Consumption Risk Sharing with Private Information and Limited Enforcement"," Online Appendices 16-83, Review of Economic Dynamics.
    36. Binswanger, Johannes, 2012. "Life cycle saving: Insights from the perspective of bounded rationality," European Economic Review, Elsevier, vol. 56(3), pages 605-623.
    37. Salvador Navarro & Jin Zhou, 2017. "Identifying Agent's Information Sets: an Application to a Lifecycle Model of Schooling, Consumption, and Labor Supply," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 25, pages 58-92, April.
    38. Le Van, Cuong & Navrouzoglou, Paulina & Vailakis, Yiannis, 2019. "On endogenous formation of price expectations," Games and Economic Behavior, Elsevier, vol. 115(C), pages 436-458.
    39. Franz Hamann, 2002. "Sovereign Risk and Real Business Cycles in a Small Open Economy," International Finance 0212001, University Library of Munich, Germany.
    40. Ábrahám, Árpád & Cárceles-Poveda, Eva, 2010. "Endogenous trading constraints with incomplete asset markets," Journal of Economic Theory, Elsevier, vol. 145(3), pages 974-1004, May.
    41. Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2009. "Quantitative Macroeconomics with Heterogeneous Households," Annual Review of Economics, Annual Reviews, vol. 1(1), pages 319-354, May.
    42. Cristina Arellano, 2008. "Default Risk and Income Fluctuations in Emerging Economies," American Economic Review, American Economic Association, vol. 98(3), pages 690-712, June.
    43. Cristina Arellano & Enrique Mendoza, 2002. "Credit Frictions and 'Sudden Stops' in Small Open Economies: An Equilibrium Business Cycle Framework for Emerging Markets Crises," Research Department Publications 4307, Inter-American Development Bank, Research Department.
    44. Yaron, Amir & Gomes, Joao & Zhang, Lu, 2003. "Asset Prices and Business Cycles with Costly External Finance," CEPR Discussion Papers 3927, C.E.P.R. Discussion Papers.
    45. Felix Reichling & Kent Smetters, 2013. "Optimal Annuitization with Stochastic Mortality Probabilities: Working Paper 2013-05," Working Papers 44374, Congressional Budget Office.
    46. Roberto Piazza, 2014. "Growth and Crisis, Unavoidable Connection?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 677-706, October.
    47. Yan Liu & Ramon Marimon & Adrien Wicht, 2022. "Making Sovereign Debt Safe with a Financial Stability Fund," Working Papers 1331, Barcelona School of Economics.
    48. Broer, Tobias, 2014. "Domestic or global imbalances? Rising income risk and the fall in the US current account," Journal of Monetary Economics, Elsevier, vol. 64(C), pages 47-67.
    49. Broer, Tobias, 2011. "Crowding out and crowding in: When does redistribution improve risk-sharing in limited commitment economies?," Journal of Economic Theory, Elsevier, vol. 146(3), pages 957-975, May.
    50. Auclert, Adrien & Rognlie, Matthew, 2016. "Unique equilibrium in the Eaton–Gersovitz model of sovereign debt," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 134-146.
    51. Joydeep Bhattacharya & Monisankar Bishnu & Min Wang, 2023. "Credit Markets with time-inconsistent agents and strategic loan default," Discussion Papers 23-01, Indian Statistical Institute, Delhi.
    52. Seppälä, Juha, 2000. "The term structure of real interest rates: Theory and evidence form UK index-linked bonds," Bank of Finland Research Discussion Papers 22/2000, Bank of Finland.
    53. Martins-da-Rocha, Victor Filipe & Vailakis, Yiannis, 2010. "Competitive equilibria in infinite-horizon collateralized economies with default penalties," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 703, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    54. Sarah Goldman & Shouyi Zhang, 2022. "Quantitative Easing, Households' Savings and Growth: A Luxembourgish Case Study," Post-Print hal-04080189, HAL.
    55. Mateos-Planas, Xavier & Seccia, Giulio, 2006. "Welfare implications of endogenous credit limits with bankruptcy," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2081-2115, November.
    56. Mateos-Planas, Xavier, 2013. "Credit limits and bankruptcy," Economics Letters, Elsevier, vol. 121(3), pages 469-472.
    57. Bloise, Gaetano & Citanna, Alessandro, 2015. "Uniqueness of competitive equilibrium with solvency constraints under gross-substitution," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 287-295.
    58. Liu, Yan & Marimon, Ramon & Wicht, Adrien, 2023. "Making sovereign debt safe with a financial stability fund," Journal of International Economics, Elsevier, vol. 145(C).
    59. Giovanni Callegari & Ramon Marimon & Adrien Wicht & Luca Zavalloni, 2023. "On a Lender of Last Resort with a Central Bank and a Stability Fund," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 50, pages 106-130, October.
    60. Christian Friedrich, 2015. "Does Financial Integration Increase Welfare? Evidence from International Household-Level Data," Staff Working Papers 15-4, Bank of Canada.
    61. Perri, Fabrizio & Krueger, Dirk, 2002. "Does Income Inequality Lead to Consumption Inequality?," CEPR Discussion Papers 3583, C.E.P.R. Discussion Papers.
    62. Fabrizio Perri & Dirk Krueger, 2008. "How does Household Consumption Respond to Income Shocks? Evidence and Theory," 2008 Meeting Papers 910, Society for Economic Dynamics.
    63. Gondo, Rocío, 2014. "State Contingent Assets, Financial Crises and Pecuniary Externalities in Models with Collateral Constraints," Working Papers 2014-001, Banco Central de Reserva del Perú.
    64. Eva Carceles Poveda & Arpad Abraham, 2009. "Tax Reform with Endogenous Borrowing Limits and Incomplete Asset Markets," 2009 Meeting Papers 1196, Society for Economic Dynamics.
    65. Xavier Ragot & François Le Grand, 2011. "Default and Credit Constraint in General equilibrium," 2011 Meeting Papers 1165, Society for Economic Dynamics.

  11. Sloan, Frank & Entman, Stephen S. & Reilly, Bridget A. & Cheryl A. Glass & Gerald B. Hickson & Harold H. Zhang, 1995. "Tort Liability and Obstetricians' Care Levels," Working Papers 95-07, Duke University, Department of Economics.

    Cited by:

    1. Dubay, Lisa & Kaestner, Robert & Waidmann, Timothy, 2001. "Medical malpractice liability and its effect on prenatal care utilization and infant health," Journal of Health Economics, Elsevier, vol. 20(4), pages 591-611, July.
    2. Janet Currie & W. Bentley MacLeod, 2008. "First Do No Harm? Tort Reform and Birth Outcomes," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 123(2), pages 795-830.
    3. Bertoli, P.; Grembi, V.;, 2017. "Medical Malpractice: How legal liability affects medical decisions," Health, Econometrics and Data Group (HEDG) Working Papers 17/14, HEDG, c/o Department of Economics, University of York.
    4. Sofia Amaral‐Garcia & Paola Bertoli & Veronica Grembi, 2015. "Does Experience Rating Improve Obstetric Practices? Evidence from Italy," Health Economics, John Wiley & Sons, Ltd., vol. 24(9), pages 1050-1064, September.
    5. Bertoli, Paola & Grembi, Veronica, 2019. "Malpractice risk and medical treatment selection," Journal of Public Economics, Elsevier, vol. 174(C), pages 22-35.
    6. Dubay, Lisa & Kaestner, Robert & Waidmann, Timothy, 1999. "The impact of malpractice fears on cesarean section rates," Journal of Health Economics, Elsevier, vol. 18(4), pages 491-522, August.
    7. Brian K. Chen & Chun‐Yuh Yang, 2014. "Increased Perception of Malpractice Liability and the Practice of Defensive Medicine," Journal of Empirical Legal Studies, John Wiley & Sons, vol. 11(3), pages 446-476, September.
    8. Malak, Natalie & Yang, Y. Tony, 2019. "A re-examination of the effects of tort reforms on obstetrical procedures and health outcomes," Economics Letters, Elsevier, vol. 184(C).
    9. Sloan, Frank A. & Shadle, John H., 2009. "Is there empirical evidence for "Defensive Medicine"? A reassessment," Journal of Health Economics, Elsevier, vol. 28(2), pages 481-491, March.
    10. Paul Fenn & Alastair Gray & Neil Rickman, 2004. "Liability, insurance and defensive medicine: new evidence," School of Economics Discussion Papers 0304, School of Economics, University of Surrey.
    11. Chetty, V. K., 1998. "Stochastic technology, production organization and costs," Journal of Health Economics, Elsevier, vol. 17(2), pages 187-210, April.
    12. Fenn, Paul & Gray, Alastair & Rickman, Neil, 2007. "Liability, insurance and medical practice," Journal of Health Economics, Elsevier, vol. 26(5), pages 1057-1070, September.

  12. Ming Liu & Harold H. Zhang, "undated". "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," Computing in Economics and Finance 1997 93, Society for Computational Economics.

    Cited by:

    1. Thomas D. Tallarini & Harold H. Zhang, 2005. "External habit and the cyclicality of expected stock returns," Finance and Economics Discussion Series 2005-27, Board of Governors of the Federal Reserve System (U.S.).
    2. Pieter J. Van Der Sluis, 1998. "Computationally attractive stability tests for the efficient method of moments," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 203-227.
    3. Liu, Ming & Zhang, Harold H., 1998. "Overparameterization in the seminonparametric density estimation," Economics Letters, Elsevier, vol. 60(1), pages 11-18, July.
    4. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
    5. Pieter J. van der Sluis, 1998. "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers 98-055/4, Tinbergen Institute.
    6. Martin, V.L. & Wilkins, N.P., 1997. "Indirect Estimation of Arfima and Varfima Models," Department of Economics - Working Papers Series 547, The University of Melbourne.
    7. Ghysels, Eric & Guay, Alain, 2004. "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1168-1202, December.
    8. Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.

  13. Thomas Tallarini & Harold Zhang, "undated". "External Habit and the Cyclicality of Expected Stock Returns," GSIA Working Papers 1997-26, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics.
    2. Jianfeng Yu, 2009. "The Long and the Short of Asset Prices: Using Long Run Consumption-Return Correlations to Test Asset Pricing Models," 2009 Meeting Papers 56, Society for Economic Dynamics.
    3. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, Department of Economics and Business Economics, Aarhus University.
    4. Liu, Ming & Zhang, Harold H., 1998. "Overparameterization in the seminonparametric density estimation," Economics Letters, Elsevier, vol. 60(1), pages 11-18, July.
    5. M Boschi & S d'Addona & A Goenka, 2012. "Testing external habits in an asset pricing model," CAMA Working Papers 2012-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    6. Ming Liu & Harold H. Zhang, "undated". "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," Computing in Economics and Finance 1997 93, Society for Computational Economics.
    7. Morten O. Ravn & Stephanie Schmitt-Grohe, 2004. "Deep Habits," 2004 Meeting Papers 208, Society for Economic Dynamics.
    8. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
    9. Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006 217, Society for Computational Economics.
    10. Reis Gomes, Fábio Augusto, 2020. "Evaluating a consumption function with precautionary savings and habit formation under a general income process," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 157-166.
    11. Edward R. Lawrence & John Geppert & Arun J. Prakash, 2009. "An Empirical Investigation of the Campbell‐Cochrane Habit Utility Model," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(5‐6), pages 774-791, June.
    12. Balvers, Ronald J. & Huang, Dayong, 2007. "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 86(2), pages 405-445, November.
    13. Michael T. Kiley, 2010. "Habit Persistence, Nonseparability between Consumption and Leisure, or Rule-of-Thumb Consumers: Which Accounts for the Predictability of Consumption Growth?," The Review of Economics and Statistics, MIT Press, vol. 92(3), pages 679-683, August.
    14. Olivier Allais, 2004. "Local Substitution and Habit Persistence: Matching the Moments of the Equity Premium and the Risk-Free Rate," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(2), pages 265-296, April.
    15. Wonnho Choi, 2018. "Consumption-based capital asset pricing models: issues and controversies," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 181-205, January.
    16. Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
    17. Pohl, Walt, 2016. "External habit: Anything goes," Economics Letters, Elsevier, vol. 146(C), pages 140-142.
    18. Tzu-Ming Liu, 2020. "Habit formation or word of mouth: What does lagged dependent variable in tourism demand models imply?," Tourism Economics, , vol. 26(3), pages 461-474, May.
    19. Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010. "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1237-1255, November.

  14. Paul Harrison & Harold Zhang, "undated". "Cyclical Variation in the Risk and Return Relation," GSIA Working Papers 1997-27, Carnegie Mellon University, Tepper School of Business.

    Cited by:

    1. Allan Timmermann & Gabriel Perez-Quiros, 2000. "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," FMG Discussion Papers dp360, Financial Markets Group.

Articles

  1. Booth, G. Geoffrey & Gurun, Umit G. & Zhang, Harold, 2014. "Financial networks and trading in bond markets," Journal of Financial Markets, Elsevier, vol. 18(C), pages 126-157.

    Cited by:

    1. Nathalie Oriol & Alexandra Rufini & Dominique Torre, 2018. "Fifty-shades of grey: competition between dark and lit pools in stock exchanges," Post-Print halshs-01860709, HAL.
    2. Temizsoy, Asena & Iori, Giulia & Montes-Rojas, Gabriel, 2017. "Network centrality and funding rates in the e-MID interbank market," Journal of Financial Stability, Elsevier, vol. 33(C), pages 346-365.
    3. Pedro Elosegui & Federico Forte & Gabriel Montes-Rojas, 2022. "Network Structure and Fragmentation of the Argentinean Interbank Markets," Working Papers 129, Red Nacional de Investigadores en Economía (RedNIE).
    4. G. Geoffrey Booth & Sanders S. Chang, 2017. "Domestic exchange rate determination in Renaissance Florence," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 11(3), pages 405-445, September.
    5. Gabriel Montes Rojas, 2019. "Subgraph Network Random Effects Error Components Models: Specification and Testing," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2019-44, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
    6. Jieun Lee, 2018. "Who Improves or Worsens Liquidity in the Korean Treasury Bond Market?," Working Papers 2018-3, Economic Research Institute, Bank of Korea.

  2. H. Henry Cao & Bing Han & David Hirshleifer & Harold H. Zhang, 2011. "Fear of the Unknown: Familiarity and Economic Decisions," Review of Finance, European Finance Association, vol. 15(1), pages 173-206.
    See citations under working paper version above.
  3. Pereira, João Pedro & Zhang, Harold H., 2010. "Stock Returns and the Volatility of Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 1077-1110, August.

    Cited by:

    1. Benjamin M. Blau & Ryan J. Whitby, 2015. "The Volatility of Bid-Ask Spreads," Financial Management, Financial Management Association International, vol. 44(4), pages 851-874, October.
    2. Li, Yan & Liang, Chao & Huynh, Toan L.D. & He, Qiubei, 2022. "Price reversal and heterogeneous belief," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 104-119.
    3. Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023. "When is the order-to-trade ratio fee effective?," Journal of Financial Markets, Elsevier, vol. 62(C).
    4. Barinov, Alexander, 2015. "Why does higher variability of trading activity predict lower expected returns?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 457-470.
    5. Jody Grewal & Clarissa Hauptmann & George Serafeim, 2021. "Material Sustainability Information and Stock Price Informativeness," Journal of Business Ethics, Springer, vol. 171(3), pages 513-544, July.
    6. Saad, Mohsen & Samet, Anis, 2017. "Liquidity and the implied cost of equity capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 15-38.
    7. Galariotis, Emilios & Giouvris, Evangelos, 2015. "On the stock market liquidity and the business cycle: A multi country approach," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 44-69.
    8. Sergey Isaenko & Rui Zhong, 2015. "Liquidity premium in the presence of stock market crises and background risk," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 79-90, January.
    9. Ince, Baris, 2022. "Liquidity components: Commonality in liquidity, underreaction, and equity returns," Journal of Financial Markets, Elsevier, vol. 60(C).
    10. Leirvik, Thomas, 2022. "Cryptocurrency returns and the volatility of liquidity," Finance Research Letters, Elsevier, vol. 44(C).
    11. Mohammad I. Jizi & Robert Dixon, 2017. "Are Risk Management Disclosures Informative or Tautological? Evidence from the U.S. Banking Sector," Accounting Perspectives, John Wiley & Sons, vol. 16(1), pages 7-30, March.
    12. Ahmed, Rizwan & ullah, Subhan & Hudson, Robert & Gregoriou, Andros, 2023. "The implications of liquidity ratios: Evidence from Pakistan stock exchange limited," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 235-243.
    13. Turan G. Bali & Lin Peng & Yannan Shen & Yi Tang, 2013. "Liquidity Shocks and Stock Market Reactions," Koç University-TUSIAD Economic Research Forum Working Papers 1304, Koc University-TUSIAD Economic Research Forum.
    14. Qi Deng & Zhong-guo Zhou, 2023. "Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity," Papers 2306.15807, arXiv.org, revised Feb 2024.
    15. Isaenko, Sergei, 2010. "Portfolio choice under transitory price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2375-2389, November.
    16. H. J. Turtle & Kainan Wang, 2017. "The Value In Fundamental Accounting Information," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(1), pages 113-140, March.
    17. Stereńczak, Szymon, 2020. "Stock liquidity premium with stochastic price impact and exogenous trading strategy," International Review of Financial Analysis, Elsevier, vol. 71(C).
    18. Husaini Said & Evangelos Giouvris, 2019. "Oil, the Baltic Dry index, market (il)liquidity and business cycles: evidence from net oil-exporting/oil-importing countries," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(4), pages 349-416, December.

  4. Zhonglan Dai & Edward Maydew & Douglas A. Shackelford & Harold H. Zhang, 2008. "Capital Gains Taxes and Asset Prices: Capitalization or Lock‐in?," Journal of Finance, American Finance Association, vol. 63(2), pages 709-742, April.
    See citations under working paper version above.
  5. Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005. "External Habit and the Cyclicality of Expected Stock Returns," The Journal of Business, University of Chicago Press, vol. 78(3), pages 1023-1048, May.
    See citations under working paper version above.
  6. H. Henry Cao & Tan Wang & Harold H. Zhang, 2005. "Model Uncertainty, Limited Market Participation, and Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1219-1251.

    Cited by:

    1. Li, Wenhui & Wilde, Christian, 2020. "Belief formation and belief updating under ambiguity: Evidence from experiments," SAFE Working Paper Series 251, Leibniz Institute for Financial Research SAFE, revised 2020.
    2. Gonçalo Faria & João Correia-da-Silva, 2011. "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers 414, Universidade do Porto, Faculdade de Economia do Porto.
    3. Nengjiu Ju & Jianjun Miao, "undated". "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series wp2009-014, Boston University - Department of Economics.
    4. Vinogradov, Dmitri, 2012. "Destructive effects of constructive ambiguity in risky times," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1459-1481.
    5. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," NBER Working Papers 16181, National Bureau of Economic Research, Inc.
    6. Luo, Yulei, 2015. "Robustly Strategic Consumption-Portfolio Rules with Informational Frictions," MPRA Paper 64312, University Library of Munich, Germany.
    7. Krahnen, Jan Pieter & Ockenfels, Peter & Wilde, Christian, 2014. "Measuring ambiguity aversion: A systematic experimental approach," SAFE Working Paper Series 55, Leibniz Institute for Financial Research SAFE.
    8. Werner, Jan, 2022. "Speculative trade under ambiguity," Journal of Economic Theory, Elsevier, vol. 199(C).
    9. Chang Liu & Bowen Deng, 2023. "Is it really paid for sustainable development? The economic significance of firms' green practice," Sustainable Development, John Wiley & Sons, Ltd., vol. 31(2), pages 908-925, April.
    10. König-Kersting, Christian & Kops, Christopher & Trautmann, Stefan T., 2023. "A test of (weak) certainty independence," Journal of Economic Theory, Elsevier, vol. 209(C).
    11. Cao, Henry & Han, Bing & Hirshleifer, David & Zhang, Harold, 2007. "Fear of the Unknown: Familiarity and Economic Decisions," MPRA Paper 6512, University Library of Munich, Germany.
    12. Yehuda Izhakian, 2012. "Does Ambiguity Diversification Pay?," Working Papers 12-11, New York University, Leonard N. Stern School of Business, Department of Economics.
    13. David Hirshleifer & Po-Hsuan Hsu & Dongmei Li, 2017. "Innovative Originality, Profitability, and Stock Returns," NBER Working Papers 23432, National Bureau of Economic Research, Inc.
    14. Baris Kocaarslan & Ugur Soytas, 2021. "The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios during the COVID-19 Crisis," Sustainability, MDPI, vol. 13(4), pages 1-12, February.
    15. Huang, Helen Hui & Zhang, Shunming & Zhu, Wei, 2017. "Limited participation under ambiguity of correlation," Journal of Financial Markets, Elsevier, vol. 32(C), pages 97-143.
    16. Ulrich, Maxim, 2013. "Inflation ambiguity and the term structure of U.S. Government bonds," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 295-309.
    17. Brice Corgnet & Roberto Hernán-Gonzalez & Praveen Kujal, 2018. "On Booms That Never Bust: Ambiguity in Experimental Asset Markets with Bubbles," Working Papers halshs-01898435, HAL.
    18. Takashi Nishiwaki, 2021. "Does Ambiguity Generate Demand for Options?," Working Papers 2102, Waseda University, Faculty of Political Science and Economics.
    19. Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021. "Household Finance," Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
    20. Lien, Donald & Yu, Chia-Feng (Jeffrey), 2017. "Production and hedging with optimism and pessimism under ambiguity," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 122-135.
    21. Guo, Hui & Savickas, Robert, 2006. "Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 43-56, January.
    22. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
    23. Kostopoulos, Dimitrios & Meyer, Steffen & Uhr, Charline, 2020. "Ambiguity and investor behavior," SAFE Working Paper Series 297, Leibniz Institute for Financial Research SAFE.
    24. Huang, Helen & Wang, Yanjie & Zhang, Shunming, 2021. "Prudence attitude and limited participation," Economic Modelling, Elsevier, vol. 101(C).
    25. Peijnenburg, Kim, 2018. "Life-Cycle Asset Allocation with Ambiguity Aversion and Learning," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(5), pages 1963-1994, October.
    26. Won, Dong Chul & Yannelis, Nicholas C., 2011. "Equilibrium theory with satiable and non-ordered preferences," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 245-250, March.
    27. Felipe S. Iachan & Plamen T. Nenov & Alp Simsek, 2015. "The Choice Channel of Financial Innovation," NBER Working Papers 21686, National Bureau of Economic Research, Inc.
    28. Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2008. "Ambiguity Aversion and the Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series 08-19, Swiss Finance Institute.
    29. Bouchouicha, Ranoua & Martinsson, Peter & Medhin, Haileselassie & Vieider, Ferdinand M., 2017. "Stake effects on ambiguity attitudes for gains and losses," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 83(1), pages 19-35.
    30. Füllbrunn, Sascha & Rau, Holger A. & Weitzel, Utz, 2014. "Does ambiguity aversion survive in experimental asset markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 810-826.
    31. Michail Anthropelos & Tianran Geng & Thaleia Zariphopoulou, 2020. "Competition in Fund Management and Forward Relative Performance Criteria," Papers 2011.00838, arXiv.org.
    32. Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz, 2013. "Do ambiguity effects survive in experimental asset markets?," MPRA Paper 44700, University Library of Munich, Germany.
    33. Asgharian, Hossein & Liu, Lu & Lundtofte, Frederik, 2014. "Institutional Quality, Trust and Stock Market Participation: Learning to Forget," Knut Wicksell Working Paper Series 2014/2, Lund University, Knut Wicksell Centre for Financial Studies.
    34. Jiang, Julia & Liu, Jun & Tian, Weidong & Zeng, Xudong, 2022. "Portfolio concentration, portfolio inertia, and ambiguous correlation," Journal of Economic Theory, Elsevier, vol. 203(C).
    35. Zygimantas Mauricas & Valdone Darskuviene & Tamara Marinicevaite, 2017. "Stock Market Participation Puzzle In Emerging Economies: The Case Of Lithuania," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 8(2).
    36. Hsu, Jason C., 2012. "What drives equity market non-participation?," The North American Journal of Economics and Finance, Elsevier, vol. 23(1), pages 86-114.
    37. Gormley, Todd & Liu, Hong & Zhou, Guofu, 2010. "Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance," Journal of Financial Economics, Elsevier, vol. 96(2), pages 331-344, May.
    38. Hui Chen & Nengjiu Ju & Jianjun Miao, 2014. "Dynamic Asset Allocation with Ambiguous Return Predictability," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 799-823, October.
    39. Yu, Edison G., 2018. "Dynamic market participation and endogenous information aggregation," Journal of Economic Theory, Elsevier, vol. 175(C), pages 491-517.
    40. Balbás, Beatriz & Balbás, Raquel, 2011. "CAPM-like formulae and good deal absence with ambiguous setting and coherent risk measure," INDEM - Working Paper Business Economic Series id-11-04, Instituto para el Desarrollo Empresarial (INDEM).
    41. Lin, Qian & Sun, Xianming & Zhou, Chao, 2020. "Horizon-unbiased investment with ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
    42. Jan Werner, 2021. "Participation in risk sharing under ambiguity," Theory and Decision, Springer, vol. 90(3), pages 507-519, May.
    43. Tengfei Zhang, 2020. "Manager Uncertainty and Cross-Sectional Stock Returns," 2020 Papers pzh934, Job Market Papers.
    44. 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.
    45. Hong Yan, 2009. "Estimation Uncertainty and the Equity Premium," International Review of Finance, International Review of Finance Ltd., vol. 9(3), pages 243-268, September.
    46. Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2012. "No good deals—no bad models," Staff Reports 589, Federal Reserve Bank of New York.
    47. Guerdjikova, Ani, 2006. "Portfolio Choice and Asset Prices in an Economy Populated by Case-Based Decision Makers," Working Papers 06-13, Cornell University, Center for Analytic Economics.
    48. Michail Anthropelos & Paul Schneider, 2021. "Optimal Investment and Equilibrium Pricing under Ambiguity," Swiss Finance Institute Research Paper Series 21-78, Swiss Finance Institute.
    49. Luo, Yulei, 2014. "Strategic Consumption-Portfolio Rules and Precautionary Savings with Informational Frictions," MPRA Paper 58077, University Library of Munich, Germany.
    50. Elizabeth Nedumparambil & Anup Kumar Bhandari, 2022. "Risk factors, uncertainty, and investment decision: evidence from mutual fund flows from India," Indian Economic Review, Springer, vol. 57(2), pages 349-372, December.
    51. Oh, Ji Yeol Jimmy, 2014. "Ambiguity aversion, funding liquidity, and liquidation dynamics," Journal of Financial Markets, Elsevier, vol. 18(C), pages 49-76.
    52. ÅžimÅŸek, Alp & Caballero, Ricardo, 2020. "A Model of Endogenous Risk Intolerance and LSAPs: Asset Prices and Aggregate Demand in a "Covid-19" Shock," CEPR Discussion Papers 14627, C.E.P.R. Discussion Papers.
    53. Easley, David & O'Hara, Maureen, 2010. "Liquidity and valuation in an uncertain world," Journal of Financial Economics, Elsevier, vol. 97(1), pages 1-11, July.
    54. Nguyen, Phuong-Anh & Kecskés, Ambrus, 2020. "Do technology spillovers affect the corporate information environment?," Journal of Corporate Finance, Elsevier, vol. 62(C).
    55. Ying Tung Chan & Chi Man Yip, 2023. "On the ambiguity of job search," Economic Inquiry, Western Economic Association International, vol. 61(4), pages 1006-1033, October.
    56. Izhakian, Yehuda & Yermack, David, 2017. "Risk, ambiguity, and the exercise of employee stock options," Journal of Financial Economics, Elsevier, vol. 124(1), pages 65-85.
    57. Peijnenburg, Kim & Anantanasuwong, Kanin & Kouwenberg, Roy & Mitchell, Olivia S, 2019. "Ambiguity Attitudes about Investments: Evidence from the Field," CEPR Discussion Papers 13518, C.E.P.R. Discussion Papers.
    58. Luo, Deqing & Shan, Xun & Yan, Jingzhou & Yan, Qianhui, 2023. "Sustainable investment under ESG volatility and ambiguity," Economic Modelling, Elsevier, vol. 128(C).
    59. Zeng, Yan & Li, Danping & Chen, Zheng & Yang, Zhou, 2018. "Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 70-103.
    60. David Hirshleifer & Chong Huang & Siew Hong Teoh, 2017. "Index Investing and Asset Pricing under Information Asymmetry and Ambiguity Aversion," NBER Working Papers 24143, National Bureau of Economic Research, Inc.
    61. Vanini, Paolo, 2012. "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper 42536, University Library of Munich, Germany.
    62. Yehuda Izhakian & David Yermack & Jaime F. Zender, 2016. "Ambiguity and the Tradeoff Theory of Capital Structure," NBER Working Papers 22870, National Bureau of Economic Research, Inc.
    63. Sun, Yuzhe & Wang, Yanjie & Zhang, Shunming & Huang, Helen, 2023. "The impact of ambiguity-loving attitude on market participation and asset pricing," Economic Modelling, Elsevier, vol. 128(C).
    64. Kokoreva, Maria S. (Кокорева, Мария) & Stepanova, Anastasia N. (Степанова, Анастасия) & Karnoukhova, Elena V. (Карноухова, Елена), 2016. "What We Do not Know about the Ownership Structure of the Largest U.S. Companies? [Чего Мы Не Знаем О Структуре Собственности Крупнейших Компаний Сша?]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 6, pages 36-59, December.
    65. Ya-Fang Cheng & Eugene Burgos Mutuc & Fu-Sheng Tsai & Kun-Hwa Lu & Chien-Ho Lin, 2018. "Social Capital and Stock Market Participation via Technologies: The Role of Households’ Risk Attitude and Cognitive Ability," Sustainability, MDPI, vol. 10(6), pages 1-14, June.
    66. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015.
    67. Uppal, Raman & Boyle, Phelim & Wang, Tan & Garlappi, Lorenzo, 2010. "Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification," CEPR Discussion Papers 7687, C.E.P.R. Discussion Papers.
    68. Ben-Rephael, Azi & Cookson, J. Anthony & izhakian, yehuda, 2022. "Do I Really Want to Hear The News? Public Information Arrival and Investor Beliefs," SocArXiv ud7yw, Center for Open Science.
    69. Bu, Di & Hanspal, Tobin & Liao, Yin, 2022. "Political corruption, trust, and household stock market participation," Journal of Banking & Finance, Elsevier, vol. 138(C).
    70. Sonsino, Doron & Regev, Eran, 2013. "Informational overconfidence in return prediction – More properties," Journal of Economic Psychology, Elsevier, vol. 39(C), pages 72-84.
    71. Antoniou, Constantinos & Harris, Richard D.F. & Zhang, Ruogu, 2015. "Ambiguity aversion and stock market participation: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 57-70.
    72. Claudio Campanale, 2011. "Learning, Ambiguity and Life-Cycle Portfolio Allocation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(2), pages 339-367, April.
    73. Bali, Turan G. & Brown, Stephen J. & Tang, Yi, 2017. "Is economic uncertainty priced in the cross-section of stock returns?," Journal of Financial Economics, Elsevier, vol. 126(3), pages 471-489.
    74. Anderson, Alyssa Gray, 2019. "Ambiguity in securitization markets," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 231-255.
    75. Gilbert V. Nartea & Hengyu Bai & Ji Wu, 2019. "Investor Sentiment and the Economic Policy Uncertainty Premium," Working Papers in Economics 19/14, University of Canterbury, Department of Economics and Finance.
    76. Takao Asano & Xiaojing Cai & Ryuta Sakemoto, 2023. "Time-varying ambiguity shocks and business cycles," KIER Working Papers 1094, Kyoto University, Institute of Economic Research.
    77. Carpio, Ronaldo & Guo, Meixin & Liu, Yuan & Pyun, Ju Hyun, 2021. "Wealth heterogeneity, information acquisition and equity home bias: Evidence from U.S. household surveys of consumer finance," Journal of Banking & Finance, Elsevier, vol. 126(C).
    78. Illeditsch, PK & Ganguli, J & Condie, S, 2015. "Information Inertia," Economics Discussion Papers 15615, University of Essex, Department of Economics.
    79. Kathleen Ngangoué, M., 2021. "Learning under ambiguity: An experiment in gradual information processing," Journal of Economic Theory, Elsevier, vol. 195(C).
    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. Menachem Brenner & Yehuda Izhakian & Orly Sade, 2011. "Ambiguity and Overconfidence," Working Papers 11-06, New York University, Leonard N. Stern School of Business, Department of Economics.
    82. Luo, Di & Mishra, Tapas & Yarovaya, Larisa & Zhang, Zhuang, 2021. "Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    83. Xu, Yuhong, 2022. "Optimal growth under model uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    84. Bin Wei, 2021. "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper 2021-21, Federal Reserve Bank of Atlanta.
    85. Hiroaki OHNO, 2011. "Limited Market Participation, Financial Intermediaries,And Endogenous Growth," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 53-62, August.
    86. Dimmock, Stephen G. & Kouwenberg, Roy & Mitchell, Olivia S. & Peijnenburg, Kim, 2016. "Ambiguity aversion and household portfolio choice puzzles: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 119(3), pages 559-577.
    87. Takayuki Ogawa & Jun Sakamoto, 2021. "Welfare implications of mitigating investment uncertainty," Annals of Finance, Springer, vol. 17(4), pages 559-582, December.
    88. Sun, Yuzhe & Zhang, Shunming, 2023. "Heterogeneity of probability weighting in investment decisions," Economics Letters, Elsevier, vol. 228(C).
    89. Werner, Jan, 2011. "Risk aversion for variational and multiple-prior preferences," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 382-390.
    90. Driouchi, Tarik & So, Raymond H.Y. & Trigeorgis, Lenos, 2020. "Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail," Journal of Corporate Finance, Elsevier, vol. 62(C).
    91. Gu, Yiquan & Wenzel, Tobias, 2020. "Curbing obfuscation: Empower consumers or regulate firms?," International Journal of Industrial Organization, Elsevier, vol. 70(C).
    92. Condie, Scott & Ganguli, Jayant, 2017. "The pricing effects of ambiguous private information," Journal of Economic Theory, Elsevier, vol. 172(C), pages 512-557.
    93. Ben-Rephael, Azi & Cookson, J. Anthony & izhakian, yehuda, 2022. "Trading, Ambiguity and Information in the Options Market," SocArXiv ewunv, Center for Open Science.
    94. Zhang, Jinqing & Jin, Zeyu & An, Yunbi, 2017. "Dynamic portfolio optimization with ambiguity aversion," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 95-109.
    95. Scott Condie, 2008. "Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(1), pages 81-108, July.
    96. Xing Jin & Dan Luo & Xudong Zeng, 2021. "Tail Risk and Robust Portfolio Decisions," Management Science, INFORMS, vol. 67(5), pages 3254-3275, May.
    97. Li, Wenhui & Ockenfels, Peter & Wilde, Christian, 2021. "The effect of ambiguity on price formation and trading behavior in financial markets," SAFE Working Paper Series 326, Leibniz Institute for Financial Research SAFE.
    98. Antonio Mele & Francesco Sangiorgi, 2009. "Ambiguity, Information Acquisition and Price Swings in Asset Markets," FMG Discussion Papers dp633, Financial Markets Group.
    99. Zhou, Tong, 2021. "Ambiguity, asset illiquidity, and price variability," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 280-292.
    100. Junyong He & Helen Hui Huang & Shunming Zhang, 2020. "Ambiguity Aversion, Information Acquisition, and Market Opacity," Annals of Economics and Finance, Society for AEF, vol. 21(2), pages 263-329, November.
    101. Takanori Adachi & Takao Asano, 2011. "Entrepreneurial Choice and Knightian Uncertainty with Borrowing Constraints," KIER Working Papers 803, Kyoto University, Institute of Economic Research.
    102. Takayuki Ogawa & Jun Sakamoto, 2018. "Welfare Implications of Mitigating Investment Uncertainty," Discussion Papers in Economics and Business 18-33-Rev., Osaka University, Graduate School of Economics, revised Dec 2018.
    103. Gonçalo Faria & João Correia-da-Silva, 2016. "Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(7), pages 601-626, May.
    104. John V. Duca & Mark Walker, 2022. "Why Has U.S. Stock Ownership Doubled Since the Early 1980s? Equity Participation Over the Past Half Century," Working Papers 2222, Federal Reserve Bank of Dallas.
    105. Elizabeth Potamites & Bei Zhang, 2012. "Heterogeneous ambiguity attitudes: a field experiment among small-scale stock investors in China," Review of Economic Design, Springer;Society for Economic Design, vol. 16(2), pages 193-213, September.
    106. Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
    107. Xiaoyue Chen & Bin Li & Andrew C. Worthington, 2022. "Economic uncertainty and Australian stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(3), pages 3441-3474, September.
    108. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2016. "Good deals and benchmarks in robust portfolio selection," European Journal of Operational Research, Elsevier, vol. 250(2), pages 666-678.
    109. Ganguli, J & Condie, S & Illeditsch, PK, 2012. "Information Inertia," Economics Discussion Papers 5628, University of Essex, Department of Economics.
    110. Alyssa G. Anderson, 2015. "Ambiguity in Securitization Markets," Finance and Economics Discussion Series 2015-33, Board of Governors of the Federal Reserve System (U.S.).
    111. Yehuda Izhakian, 2012. "Capital Asset Pricing Under Ambiguity," Working Papers 12-02, New York University, Leonard N. Stern School of Business, Department of Economics.
    112. Kostopoulos, Dimitrios & Meyer, Steffen & Uhr, Charline, 2022. "Ambiguity about volatility and investor behavior," Journal of Financial Economics, Elsevier, vol. 145(1), pages 277-296.
    113. Ohno, Hiroaki, 2009. "Incomplete market participation, endogenous endowment risks and welfare," Journal of Economics and Business, Elsevier, vol. 61(5), pages 392-403, September.
    114. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
    115. Jiao, Jie & Qiu, Bin & Yan, An, 2013. "Diversification and heterogeneity of investor beliefs," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3435-3453.
    116. Philipp Karl ILLEDITSCH, 2009. "Ambiguous Information, Risk Aversion, and Asset Pricing," 2009 Meeting Papers 802, Society for Economic Dynamics.
    117. Kaustia, Markku & Torstila, Sami, 2011. "Stock market aversion? Political preferences and stock market participation," Journal of Financial Economics, Elsevier, vol. 100(1), pages 98-112, April.
    118. Claudia Ravanelli & Gregor Svindland, 2019. "Ambiguity sensitive preferences in Ellsberg frameworks," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 67(1), pages 53-89, February.
    119. Kazufumi Yamana, 2016. "Structural Household Finance," Discussion papers ron279, Policy Research Institute, Ministry of Finance Japan.
    120. Brenner, Menachem & Izhakian, Yehuda, 2018. "Asset pricing and ambiguity: Empirical evidence⁎," Journal of Financial Economics, Elsevier, vol. 130(3), pages 503-531.
    121. Jiajun Jiang & Qi Liu & Bo Sun, 2020. "Investor Sentiment and the (Discretionary) Accrual-return Relation," International Finance Discussion Papers 1300, Board of Governors of the Federal Reserve System (U.S.).
    122. Liu, Qi & Sun, Bo, 2018. "Managerial manipulation, corporate governance, and limited market participation," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 98-117.
    123. Li, Wenhui & Wilde, Christian, 2021. "Separating the effects of beliefs and attitudes on pricing under ambiguity," SAFE Working Paper Series 311, Leibniz Institute for Financial Research SAFE.
    124. Bo Sun, 2011. "Limited market participation and asset prices in the presence of earnings management," International Finance Discussion Papers 1019, Board of Governors of the Federal Reserve System (U.S.).
    125. Stephen G. Dimmock & Roy Kouwenberg & Peter P. Wakker, 2016. "Ambiguity Attitudes in a Large Representative Sample," Management Science, INFORMS, vol. 62(5), pages 1363-1380, May.
    126. Chao Tang, 2017. "Ambiguity and Investment Decisions: An Empirical Analysis on Mutual Fund Investor Behaviour," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 3(3), pages 38-46, September.
    127. Lopomo Beteto Wegner, Danilo, 2015. "Government insurance, information, and asset prices," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 165-183.

  7. Harold H. Zhang, 2003. "Comment on `Household Portfolio Choices in Taxable and Tax-Deferred Accounts: Another Puzzle?'," Review of Finance, Springer, vol. 7(3), pages 583-586.

    Cited by:

    1. Zhou, Jie, 2009. "The asset location puzzle: Taxes matter," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 955-969, April.

  8. Dammon, Robert M & Spatt, Chester S & Zhang, Harold H, 2001. "Optimal Consumption and Investment with Capital Gains Taxes," The Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 583-616.
    See citations under working paper version above.
  9. Zhang, Harold H., 2000. "Explaining bond returns in heterogeneous agent models: The importance of higher-order moments," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1381-1404, September.

    Cited by:

    1. Wouter J. Denhaan, 2000. "The Importance Of The Number Of Different Agents In A Heterogeneous Asset-Pricing Model," Computing in Economics and Finance 2000 349, Society for Computational Economics.

  10. Paul Harrison & Harold H. Zhang, 1999. "An Investigation Of The Risk And Return Relation At Long Horizons," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 399-408, August.

    Cited by:

    1. Robert E. Krainer, 2014. "Financial Aspects of Business Cycles: An Analysis of Balance Sheet Adjustments of U.S. Nonfinancial Enterprises over the Twentieth Century," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 371-407, March.
    2. Marc Poitras, 2004. "The Impact of Macroeconomic Announcements on Stock Prices: In Search of State Dependence," Southern Economic Journal, John Wiley & Sons, vol. 70(3), pages 549-565, January.
    3. Anisha Ghosh & Oliver Linton, 2019. "Estimation with Mixed Data Frequencies: A Bias-Correction Approach," CeMMAP working papers CWP65/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Thomas D. Tallarini & Harold H. Zhang, 2005. "External habit and the cyclicality of expected stock returns," Finance and Economics Discussion Series 2005-27, Board of Governors of the Federal Reserve System (U.S.).
    5. Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012. "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
    6. Jin, Xiaoye, 2017. "Time-varying return-volatility relation in international stock markets," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 157-173.
    7. Nektarios Aslanidis & Charlotte Christiansen & Neophytos Lambertides & Christos S. Savva, 2019. "Idiosyncratic volatility puzzle: influence of macro-finance factors," Review of Quantitative Finance and Accounting, Springer, vol. 52(2), pages 381-401, February.
    8. Angelos Kanas, 2013. "The risk-return relation and VIX: evidence from the S&P 500," Empirical Economics, Springer, vol. 44(3), pages 1291-1314, June.
    9. Delis, Manthos D. & Savva, Christos S. & Theodossiou, Panayiotis, 2021. "The impact of the coronavirus crisis on the market price of risk," Journal of Financial Stability, Elsevier, vol. 53(C).
    10. Mark J. Jensen & John M. Maheu, 2014. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," Working Paper series 31_14, Rimini Centre for Economic Analysis.
    11. Wang, Peijie & Brand, Steven, 2015. "A new approach to estimating value–income ratios with income growth and time-varying yields," European Journal of Operational Research, Elsevier, vol. 242(1), pages 182-187.
    12. Alexis Direr, 2023. "Portfolio Choice With Time Horizon Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 26(06n07), pages 1-19, November.
    13. Nusret Cakici & Mitchell Kellman & Elli Kraizberg, 2002. "Matched-Long Term Maturity Stock and Bond Returns in International Markets," The American Economist, Sage Publications, vol. 46(2), pages 45-53, October.
    14. Krainer, Robert E., 2013. "Towards a program for financial stability," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 207-218.
    15. Guo, Hui & Savickas, Robert, 2006. "Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 43-56, January.
    16. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, vol. 76(3), pages 509-548, June.
    17. Su, EnDer & Wen Wong, Kai, 2019. "Testing the alternative two-state options pricing models: An empirical analysis on TXO," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 101-116.
    18. De Santis, Roberto A., 2012. "Quantity theory is alive: the role of international portfolio shifts," Working Paper Series 1435, European Central Bank.
    19. Wickens, Michael R. & Smith, Peter N & Sorensen, Steffen, 2009. "The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks," CEPR Discussion Papers 7227, C.E.P.R. Discussion Papers.
    20. Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni, 2015. "A new approach to measuring riskiness in the equity market: Implications for the risk premium," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 101-117.
    21. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431.
    22. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
    23. Xing Jin & LepingWang & JunYu, 2007. "Temporal Aggregation and Risk-Return Relation," Finance Working Papers 21917, East Asian Bureau of Economic Research.
    24. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.
    25. Bali, Turan G., 2008. "The intertemporal relation between expected returns and risk," Journal of Financial Economics, Elsevier, vol. 87(1), pages 101-131, January.
    26. Tiwari, Aviral Kumar & Dar, Arif Billah & Bhanja, Niyati & Arouri, Mohamed & Teulon, Frédéric, 2015. "Stock returns and inflation in Pakistan," Economic Modelling, Elsevier, vol. 47(C), pages 23-31.
    27. B M, Lithin & chakraborty, Suman & iyer, Vishwanathan & M N, Nikhil & ledwani, Sanket, 2022. "Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India," MPRA Paper 117067, University Library of Munich, Germany, revised 05 Jan 2023.
    28. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.).
    29. Krainer, Robert, 2009. "Portfolio and financing adjustments for U.S. banks: Some empirical evidence," Journal of Financial Stability, Elsevier, vol. 5(1), pages 1-24, January.
    30. Dave Berger & H. J. Turtle, 2009. "Time Variability In Market Risk Aversion," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 285-307, September.
    31. Kanas, Angelos, 2012. "Modelling the risk–return relation for the S&P 100: The role of VIX," Economic Modelling, Elsevier, vol. 29(3), pages 795-809.
    32. Wu, Shue-Jen & Lee, Wei-Ming, 2015. "Intertemporal risk–return relationships in bull and bear markets," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 308-325.
    33. Jennie Bai & Turan G. Bali & Quan Wen, 2019. "Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence," NBER Working Papers 25995, National Bureau of Economic Research, Inc.
    34. Bai, Jennie & Bali, Turan G. & Wen, Quan, 2021. "Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1017-1037.
    35. Thomas C. Chiang & Jiandong Li, 2012. "Stock Returns and Risk: Evidence from Quantile," JRFM, MDPI, vol. 5(1), pages 1-39, December.
    36. Kim, Sangbae & In, Francis, 2007. "On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 167-179, April.
    37. Martin Ewen, 2018. "Where is the Risk Reward? The Impact of Volatility-Based Fund Classification on Performance," Risks, MDPI, vol. 6(3), pages 1-20, August.
    38. Sun, Yufei & Aw, Grace & Teo, Kok Lay & Zhu, Yanjian & Wang, Xiangyu, 2016. "Multi-period portfolio optimization under probabilistic risk measure," Finance Research Letters, Elsevier, vol. 18(C), pages 60-66.
    39. Lee Jihyun & Kim Tong S & Lee Hoe Kyung, 2010. "Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(1), pages 1-43, December.
    40. Cathy Yi†Hsuan Chen & Thomas C. Chiang, 2016. "Empirical Analysis of the Intertemporal Relationship between Downside Risk and Expected Returns: Evidence from Time†varying Transition Probability Models," European Financial Management, European Financial Management Association, vol. 22(5), pages 749-796, November.
    41. Paul Ehling & Christian Heyerdahl-Larsen, 2014. "Correlations," Working Papers 1413, Banco de España.
    42. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers 0909, Koc University-TUSIAD Economic Research Forum, revised Nov 2009.
    43. Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, vol. 72(2), pages 217-257, May.
    44. Balvers, Ronald J. & Huang, Dayong, 2007. "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 86(2), pages 405-445, November.
    45. Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018. "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, vol. 271(2), pages 676-696.
    46. Wang, Zijun & Khan, M. Moosa, 2017. "Market states and the risk-return tradeoff," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 314-327.
    47. Wang, Jianxin & Yang, Minxian, 2013. "On the risk return relationship," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 132-141.
    48. Mehmet F. Dicle, 2019. "Increasing return response to changes in risk," Review of Financial Economics, John Wiley & Sons, vol. 37(1), pages 197-215, January.
    49. Martin Ewen & Marc Oliver Rieger, 2019. "Systemic Impact of the Risk Based Fund Classification and Implications for Fund Management," Working Paper Series 2019-01, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    50. Krainer, Robert E., 2017. "Economic stability under alternative banking systems: Theory and policy," Journal of Financial Stability, Elsevier, vol. 31(C), pages 107-118.
    51. Alexis Direr, 2023. "Portfolio Choice With Time Horizon Risk," Post-Print hal-04501750, HAL.
    52. Li, Junye, 2011. "Volatility components, leverage effects, and the return-volatility relations," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1530-1540, June.
    53. Panayiotis Theodossiou & Christos S. Savva, 2016. "Skewness and the Relation Between Risk and Return," Management Science, INFORMS, vol. 62(6), pages 1598-1609, June.
    54. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
    55. Kim, Sangbae & In, Francis, 2005. "The relationship between stock returns and inflation: new evidence from wavelet analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 435-444, June.
    56. Mehmet F. Dicle & Kendra Reed, 2019. "Asymmetric return response to expected risk: policy implications," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 27(3), pages 345-356, June.
    57. Bollerslev, Tim & Zhou, Hao, 2006. "Volatility puzzles: a simple framework for gauging return-volatility regressions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 123-150.
    58. Bandi, Federico M. & Perron, Benoît, 2008. "Long-run risk-return trade-offs," Journal of Econometrics, Elsevier, vol. 143(2), pages 349-374, April.
    59. Wu, Liuren, 2018. "Estimating risk-return relations with analysts price targets," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 183-197.
    60. Lundblad, Christian, 2007. "The risk return tradeoff in the long run: 1836-2003," Journal of Financial Economics, Elsevier, vol. 85(1), pages 123-150, July.
    61. Łukasz Kwiatkowski, 2011. "Bayesian Analysis of a Regime Switching In-Mean Effect for the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 3(4), pages 187-219, December.
    62. Jin, Xing & Wang, Leping & Yu, Jun, 2007. "Temporal aggregation and risk-return relation," Finance Research Letters, Elsevier, vol. 4(2), pages 104-115, June.
    63. Chen, Cathy Yi-Hsuan & Chiang, Thomas C. & Härdle, Wolfgang Karl, 2018. "Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 21-32.
    64. Lustig, Hanno & Verdelhan, Adrien, 2012. "Business cycle variation in the risk-return trade-off," Journal of Monetary Economics, Elsevier, vol. 59(S), pages 35-49.
    65. Dimic, Nebojsa & Kiviaho, Jarno & Piljak, Vanja & Äijö, Janne, 2016. "Impact of financial market uncertainty and macroeconomic factors on stock–bond correlation in emerging markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 41-51.
    66. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887, Elsevier.
    67. Salvador, Enrique & Floros, Christos & Arago, Vicent, 2014. "Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 60-77.
    68. Xing, Xuejing & Howe, John S., 2003. "The empirical relationship between risk and return: evidence from the UK stock market," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 329-346.
    69. Thakolsri, Supachok & Sethapramote, Yuthana & Jiranyakul, Komain, 2015. "Asymmetric volatility of the Thai stock market: evidence from high-frequency data," MPRA Paper 67181, University Library of Munich, Germany.
    70. Selcuk Bayraci & Sercan Demiralay & Hatice Gaye Gencer, 2018. "Stock†Bond Co†Movements And Flight†To†Quality In G7 Countries: A Time†Frequency Analysis," Bulletin of Economic Research, Wiley Blackwell, vol. 70(1), pages 29-49, January.
    71. Jin E. Zhang & Eric C. Chang & Huimin Zhao, 2020. "Market Excess Returns, Variance and the Third Cumulant," International Review of Finance, International Review of Finance Ltd., vol. 20(3), pages 605-637, September.
    72. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
    73. Niyati Bhanja & Arif Billah Dar, 2019. "Stock returns and inflation: a tale of two periods in India," Economic Change and Restructuring, Springer, vol. 52(4), pages 413-438, November.
    74. Gerrard, Russell & Hiabu, Munir & Nielsen, Jens Perch & Vodička, Peter, 2020. "Long-term real dynamic investment planning," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 90-103.
    75. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 684-700, November.
    76. Tan, Zhengxun & Xiao, Binuo & Huang, Yilong & Zhou, Li, 2021. "Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    77. Bali, Turan G. & Engle, Robert F., 2010. "The intertemporal capital asset pricing model with dynamic conditional correlations," Journal of Monetary Economics, Elsevier, vol. 57(4), pages 377-390, May.
    78. Chiang, Thomas C. & Li, Huimin & Zheng, Dazhi, 2015. "The intertemporal risk-return relationship: Evidence from international markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 156-180.
    79. Symitsi, Efthymia & Symeonidis, Lazaros & Kourtis, Apostolos & Markellos, Raphael, 2018. "Covariance forecasting in equity markets," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 153-168.
    80. Cenesizoglu, Tolga, 2022. "Return decomposition over the business cycle," Journal of Banking & Finance, Elsevier, vol. 143(C).
    81. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.

  11. Liu, Ming & Zhang, Harold H., 1998. "Overparameterization in the seminonparametric density estimation," Economics Letters, Elsevier, vol. 60(1), pages 11-18, July.
    See citations under working paper version above.
  12. Zhang, Harold H, 1997. "Endogenous Borrowing Constraints with Incomplete Markets," Journal of Finance, American Finance Association, vol. 52(5), pages 2187-2209, December.
    See citations under working paper version above.
  13. Sloan, Frank A. & Entman, Stephen S. & Reilly, Bridget A. & Glass, Cheryl A. & Hickson, Gerald B. & Zhang, Harold H., 1997. "Tort liability and obstetricians' care levels," International Review of Law and Economics, Elsevier, vol. 17(2), pages 245-260, June.
    See citations under working paper version above.
  14. Zhang, Harold H., 1997. "Endogenous Short-Sale Constraint, Stock Prices And Output Cycles," Macroeconomic Dynamics, Cambridge University Press, vol. 1(1), pages 228-254, January.
    See citations under working paper version above.
  15. Tauchen, George & Zhang, Harold & Liu, Ming, 1996. "Volume, volatility, and leverage: A dynamic analysis," Journal of Econometrics, Elsevier, vol. 74(1), pages 177-208, September.
    See citations under working paper version above.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.