Kittiakarasakun, Jullavut; Tse, Yiuman; Wang, George H.K. - In: Managerial Finance 38 (2012) August, pp. 752-767
Purpose – The purpose of this paper is to examine the impact of trades by informed traders and uninformed traders on the asymmetric volatility relation, a stylized fact that has long been puzzling financial economists. Avramov, Chordia, and Goyal's hypothesized that asymmetric volatility,...
