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Deterministic versus stochastic volatility : implications for option pricing models

Brockman, Paul - In: Applied financial economics 7 (1997) 5, pp. 498-505

Persistent link: https://www.econbiz.de/10001229837

Comovement, information production, and the business cycle

Brockman, Paul; Liebenberg, Ivonne; Schutte, Maria - In: Journal of financial economics 97 (2010) 1, pp. 107-129

Persistent link: https://www.econbiz.de/10003991449

Conference call tone and stock returns : evidence from the stock exchange of Hong Kong

Brockman, Paul; Li, Xu; Price, S. McKay - In: Asia-Pacific journal of financial studies 46 (2017) 5, pp. 667-685

Persistent link: https://www.econbiz.de/10011779391

The R&D-abnormal return anomaly : a transaction cost explanation

Brockman, Paul; Chung, Dennis Y.; Shaw, Ken W. - In: Review of quantitative finance and accounting 48 (2017) 2, pp. 385-406

Persistent link: https://www.econbiz.de/10011796634

Comovement, Information Production, and the Business Cycle

Brockman, Paul - 2012

Recent theoretical research suggests that information production is a positive externality of aggregate economic activity (Veldkamp, 2005). Both the quantity and quality of information increase during periods of economic expansion and decrease during periods of contraction. Based on this...

Persistent link: https://www.econbiz.de/10013098932

Is idiosyncratic risk priced? : the international evidence

Brockman, Paul; Guo, Tao; Vivero, Maria Gabriela; Yu, Wayne - In: Journal of empirical finance 66 (2022), pp. 121-136

Persistent link: https://www.econbiz.de/10013370669