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Cross section of option returns and idiosyncratic stock volatility

Cao, Jie Jay; Han, Bing - In: Journal of financial economics 108 (2013) 1, pp. 231-249

Persistent link: https://www.econbiz.de/10009746504

Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns

Cao, Jie Jay; Han, Bing - In: Journal of banking & finance 73 (2016), pp. 1-15

Persistent link: https://www.econbiz.de/10011635615

Smart beta, "smarter" flows

Cao, Jie Jay; Hsu, Jason C.; Song, Linjia; Xiao, Zhanbing; … - In: Journal of empirical finance 81 (2025), pp. 1-16

Persistent link: https://www.econbiz.de/10015405335

A bond pricing formula under a non-trivial, three-factor model of interest rates

Chen, Lin - In: Economics letters 51 (1996) 1, pp. 95-99

Persistent link: https://www.econbiz.de/10001199673

Alternative factor specifications, security characteristics, and the cross-section of expected stock returns

Brennan, Michael J. - In: Journal of financial economics 49 (1998) 3, pp. 345-373

Persistent link: https://www.econbiz.de/10001246743

Volatility-of-Volatility Risk in Asset Pricing

Chen, Te-Feng; Chordia, Tarun; Chung, San-Lin; Lin, Ji-chai - 2021

This paper develops a general equilibrium model and provides empirical support that the market volatility-of-volatility (VOV) predicts market returns and drives the time-varying volatility risk. In asset pricing tests with the market, volatility, and VOV as factors, the risk premium on VOV is...

Persistent link: https://www.econbiz.de/10013244837

Anomalies and financial distress

Avramov, Doron; Chordia, Tarun; Jostova, Gergana; … - In: Journal of financial economics 108 (2013) 1, pp. 139-159

Persistent link: https://www.econbiz.de/10009746528

The world price of credit risk

Avramov, Doron; Chordia, Tarun; Jostova, Gergana; … - In: Review of asset pricing studies 2 (2012) 2, pp. 112-152

Persistent link: https://www.econbiz.de/10009705286

Sell-order liquidity and the cross-section of expected stock returns

Brennan, Michael J.; Chordia, Tarun; Subrahmanyan, Avanidhar - In: Journal of financial economics 105 (2012) 3, pp. 523-541

Persistent link: https://www.econbiz.de/10009666811

Asset pricing models and financial markt anomalies

Avramov, Doron; Chordia, Tarun - In: The review of financial studies 19 (2006) 3, pp. 1001-1040

Persistent link: https://www.econbiz.de/10003358402