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Contingent claim-based expected stock returns

Chen, Zhiyao; Strebulaev, Ilya A. - 2013

Persistent link: https://www.econbiz.de/10010238530

Strategic risk shifting and the idiosyncratic volatility puzzle

Chen, Zhiyao; Strebulaev, Ilya A.; Xing, Yuhang; Zhang, … - 2014

We find strong empirical support for the risk-shifting mechanism to account for the puzzling negative relation between idiosyncratic volatility and future stock returns. First, equity holders take on investments with high idiosyncratic risk when their firms are in distress and receive less...

Persistent link: https://www.econbiz.de/10010387144

Strategic risk shifting and the idiosyncratic volatility puzzle : an empirical investigation

Chen, Zhiyao; Strebulaev, Ilya A.; Xing, Yuhang; Zhang, … - In: Management science : journal of the Institute for … 67 (2021) 5, pp. 2751-2772

Persistent link: https://www.econbiz.de/10012550013

Effect of intervalling and skewness on portfolio selection indeveloped and developing markets

Chang, Chun-hao; Dupoyet, Brice; Prakash, Arun J. - In: Applied financial economics 18 (2008) 18/21, pp. 1697-1707

Persistent link: https://www.econbiz.de/10003800238

The effect of high-frequency market making on option market liquidity

Mishra, Suchi; Daigler, Robert T.; Holowczak, Richard - In: The journal of trading 11 (2016) 4, pp. 56-76

Persistent link: https://www.econbiz.de/10011697653

Expanding the explanations for the return-volatility relation

Talukdar, Bakhtear; Daigler, Robert T.; Parhizgari, Ali M. - In: The journal of futures markets 37 (2017) 7, pp. 689-716

Persistent link: https://www.econbiz.de/10011950866

A multiple discriminant analysis of technical indicators on the New York Stock Exchange

Daigler, Robert T.; Fielitz, Bruce D. - In: The journal of financial research 4 (1981) 3, pp. 169-182

Persistent link: https://www.econbiz.de/10002044693

The limits to stock index arbitrage : examining S&P 500 futures and SPDRS

Richie, Nivine; Daigler, Robert T.; Gleason, Kimberly - In: The journal of futures markets 28 (2008) 12, pp. 1182-1205

Persistent link: https://www.econbiz.de/10003773148

Dynamics of information leadership in the volatility complex with trading time changes : evidence from VIX futures and VIX ETPs

Hurwitz, Catalina I.; Mishra, Suchismita; Daigler, Robert T. - In: Algorithmic finance 9 (2022) 3/4, pp. 63-79

Persistent link: https://www.econbiz.de/10013459963