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Persistent link: https://www.econbiz.de/10014473339

Price limits and asymmetry of price dynamics : high frequency evidence from the Chinese stock market

Hou, Keqiang; Li, Xing; Zhong, Wei - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 7, pp. 1447-1461

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Intangible factor and idiosyncratic volatility puzzles

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Managerial Compensation and Outcome Volatility

Chen, Xiaoyan - 2018

We present a simple discrete-time version of the continuous-time agency model under mean-volatility joint ambiguity uncertainties, which conveniently captures a number of important properties of optimal contracts without having to rely on complex continuous-time mathematical issues. The...

Persistent link: https://www.econbiz.de/10012924934

Time-varying informational efficiency in China's a-share and b-share markets

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Does smile help detect the UK's price leadership change after MiFID?

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Persistent link: https://www.econbiz.de/10014364155

COVID-19 and stock market nexus : evidence from Shanghai Stock Exchange

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The value premium and time-varying volatility

Li, Xiafei; Brooks, Chris; Miffre, Joëlle - In: Journal of business finance & accounting : JBFA 36 (2009) 9/10, pp. 1252-1272

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Idiosyncratic volatility and the pricing of poorly-diversified portfolios

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Forecasting stock market volatility and assessing information content present in S&P/ASX 200 index option prices

Buhr, Klaus E.; Li, Xiaoming; Rose, Lawrence Craig - 2005

Persistent link: https://www.econbiz.de/10003332229