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Vector autoregression or simultaneous equations model? : The intraday relationship between index arbitrage and market volatility

Chan, Kalok - In: Journal of banking & finance 19 (1995) 1, pp. 173-179

Persistent link: https://www.econbiz.de/10001181847

Why option prices lag stock prices : a trading-based explanation

Chan, Kalok - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1957-1967

Persistent link: https://www.econbiz.de/10001155911

The predictability of stock returns : a nonparametric approach

Chung, Y. Peter - In: Econometric reviews 15 (1996) 3, pp. 299-330

Persistent link: https://www.econbiz.de/10001212112

How important is capital structure policy to firm survival?

Chung, Y. Peter; Na, Hyun Seung; Smith, Richard L. - In: The journal of corporate finance : contracting, … 22 (2013), pp. 83-103

Persistent link: https://www.econbiz.de/10010126251

The pricing of time-varying exchange rate risk in the stock market : a nonparametric approach

Chung, Y. Peter; Zhou, Zhong-guo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10009521656

Asset pricing when returns are nonnormal : fama-french factors versus higher-order systematic comoments

Chung, Y. Peter; Schill, Michael J. - In: The journal of business : B 79 (2006) 2, pp. 923-940

Persistent link: https://www.econbiz.de/10003310424

Pricing of Herding

Chung, Y. Peter - 2012

We measure herding of trading activities by regressing individual order imbalances on market wide, industry wide, and dealer wide order imbalances. We find that stocks whose trading activities herd more have higher sensitivity of their returns to order imbalances. Investors demand compensations...

Persistent link: https://www.econbiz.de/10013115682