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Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model
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- Khandani, Amir E. & Lo, Andrew W., 2011.
"What happened to the quants in August 2007? Evidence from factors and transactions data,"
Journal of Financial Markets, Elsevier, vol. 14(1), pages 1-46, February.
- Amir E. Khandani & Andrew W. Lo, 2008. "What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data," NBER Working Papers 14465, National Bureau of Economic Research, Inc.
- Azi Ben‐Rephael & Bruce I. Carlin & Zhi Da & Ryan D. Israelsen, 2021. "Information Consumption and Asset Pricing," Journal of Finance, American Finance Association, vol. 76(1), pages 357-394, February.
- Serge Darolles & Gaëlle Le Fol, 2003.
"Trading Volume and Arbitrage,"
Working Papers
2003-46, Center for Research in Economics and Statistics.
- Serge Darolles & Gaëlle Le Fol, 2014. "Trading Volume and Arbitrage," Post-Print hal-01632848, HAL.
- Serge Darolles & Gaëlle Le Fol, 2014. "Trading volume and Arbitrage," Post-Print hal-01632841, HAL.
- Gaëlle Le Fol & Serge Darolles, 2014. "Trading volume and Arbitrage," Post-Print halshs-01061280, HAL.
- John Cotter & Enrique Salvador, 2014.
"The non-linear trade-off between return and risk: a regime-switching multi-factor framework,"
Papers
1410.6005, arXiv.org.
- John Cotter & Enrique Salvador, 2014. "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Working Papers 201414, Geary Institute, University College Dublin.
- Leilei Shi & Bing Han & Yingzi Zhu & Liyan Han & Yiwen Wang & Yan Piao, 2023. "Market Crowds' Trading Behaviors, Agreement Prices, and the Implications of Trading Volume," Papers 2310.05322, arXiv.org.
- Griffin, John M. & Nardari, Federico & Stulz, Rene M., 2004.
"Stock Market Trading and Market Conditions,"
Working Paper Series
2004-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- John M. Griffin & Federico Nardari & Rene M. Stulz, 2004. "Stock Market Trading and Market Conditions," NBER Working Papers 10719, National Bureau of Economic Research, Inc.
- Bruno Biais & Peter Bossaerts & Chester Spatt, "undated".
"Equilibrium Asset Pricing Under Heterogeneous Information,"
GSIA Working Papers
2003-E42, Carnegie Mellon University, Tepper School of Business.
- Biais, Bruno & Bossaerts, Peter & Spatt, Chester, 2003. "Equilibrium Asset Pricing Under Heterogenous Information," IDEI Working Papers 159, Institut d'Économie Industrielle (IDEI), Toulouse.
- Bruno Biais & Peter Bossaerts & Chester Spatt, 2003. "Equilibrium Asset Pricing Under Heterogeneous Information," Levine's Bibliography 666156000000000086, UCLA Department of Economics.
- Blanka Francová, 2017. "Valuation of Government Bonds: the Exchange Rate Is an Important Aspect," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(6), pages 1911-1916.
- Snigaroff, Robert & Wroblewski, David, 2021. "Earnings and liquidity factors," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 508-523.
- Orhan ERDEM & Evren ARIK & Serkan YÜKSEL, 2014.
"Trading Puzzle, Puzzling Trade,"
Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 29(345), pages 83-102.
- Erdem, Orhan & Yüksel, Serkan & Arık, Evren, 2013. "Trading Puzzle, Puzzling Trade," MPRA Paper 46804, University Library of Munich, Germany, revised 21 Feb 2013.
- Chen Jau-er, 2015. "Factor instrumental variable quantile regression," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 71-92, February.
- Yu Chen & Thomas Cosimano & Alex Himonas, 2010. "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 42(3), pages 461-503, March.
- Pascal St-Amour, 2005. "Direct Preference Wealth in Aggregate Household Portfolios," FAME Research Paper Series rp136, International Center for Financial Asset Management and Engineering.
- Cotter, John & Salvador, Enrique, 2022.
"The non-linear trade-off between return and risk and its determinants,"
Journal of Empirical Finance, Elsevier, vol. 67(C), pages 100-132.
- John Cotter & Enrique Salvador, 2022. "The non-linear trade-off between return and risk and its determinants," Working Papers 202203, Geary Institute, University College Dublin.
- Villena, Marcelo J. & Reus, Lorenzo, 2016. "On the strategic behavior of large investors: A mean-variance portfolio approach," European Journal of Operational Research, Elsevier, vol. 254(2), pages 679-688.
- Taisei Kaizoji, 2013. "Modelling of Stock Returns and Trading Volume," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 147-155, July.
- Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010.
"Intraday Patterns in the Cross‐section of Stock Returns,"
Journal of Finance, American Finance Association, vol. 65(4), pages 1369-1407, August.
- Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Papers 1005.3535, arXiv.org.
- Malamud, Semyon & Vilkov, Grigory, 2018. "Non-myopic betas," Journal of Financial Economics, Elsevier, vol. 129(2), pages 357-381.
- Zhaodan Huang & James B. Heian, 2010. "Trading‐Volume Shocks And Stock Returns: An Empirical Analysis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(2), pages 153-177, June.
- Camilleri, Silvio John & Galea, Francelle, 2019. "The Determinants of Securities Trading Activity: Evidence from four European Equity Markets," MPRA Paper 95298, University Library of Munich, Germany.
- Robert Snigaroff & David Wroblewski, 2023. "Consumption with earnings, liquidity, and market based models," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 501-530, February.
- Gaiyan Zhang, 2007. "A Model of Price, Volume, and Sequential Information," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 6(3), pages 207-223, December.
- Omid Sabbaghi & Navid Sabbaghi, 2014. "An empirical analysis of the Carbon Financial Instrument," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(2), pages 209-234, April.
- Shi, Leilei & Wang, Binghong & Guo, Xinshuai & Li, Honggang, 2021. "A price dynamic equilibrium model with trading volume weights based on a price-volume probability wave differential equation," International Review of Financial Analysis, Elsevier, vol. 74(C).
- Pascal St-Amour, 2005. "Direct Preference for Wealth in Aggregate Household Portfolio," Cahiers de Recherches Economiques du Département d'économie 05.04, Université de Lausanne, Faculté des HEC, Département d’économie.
- Robert Elliott & Tak Siu, 2015. "Asset Pricing Using Trading Volumes in a Hidden Regime-Switching Environment," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(2), pages 133-149, May.
- Maio, Paulo & Santa-Clara, Pedro, 2012. "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, vol. 106(3), pages 586-613.
- Chen, Deqiu & Ma, Yujing & Martin, Xiumin & Michaely, Roni, 2022.
"On the fast track: Information acquisition costs and information production,"
Journal of Financial Economics, Elsevier, vol. 143(2), pages 794-823.
- Deqiu Chen & Yujing Ma & Xiumin Martin & Roni Michaely, 2020. "On the Fast Track: Information Acquisition Costs and Information Production," Swiss Finance Institute Research Paper Series 20-14, Swiss Finance Institute.
- Zhong-Guo Zhou, 2010. "The high-volume return premium: evidence from the Chinese stock market," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 295-313, October.
- Boyce Watkins, 2006. "Do emerging markets with consistent returns have better future performance?," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 411-422.
- Zhang, Wei & Wang, Guanying & Wang, Xingchun & Xiong, Xiong & Lei, Xuan, 2018. "Profitability of reversal strategies: A modified version of the Carhart model in China," Economic Modelling, Elsevier, vol. 69(C), pages 26-37.
- Baker, Malcolm & Stein, Jeremy C., 2004.
"Market liquidity as a sentiment indicator,"
Journal of Financial Markets, Elsevier, vol. 7(3), pages 271-299, June.
- Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," NBER Working Papers 8816, National Bureau of Economic Research, Inc.
- Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," Harvard Institute of Economic Research Working Papers 1977, Harvard - Institute of Economic Research.
- Machado, André & Lima, Fabiano Guasti, 2021. "Sell-side analyst reports and decision-maker reactions: Role of heuristics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
- K. J. Martijn Cremers & Jianping Mei, 2007.
"Turning over Turnover,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1749-1782, November.
- Martijn Cremers & Jianping Mei, 2004. "Turning Over Turnover," Yale School of Management Working Papers ysm429, Yale School of Management, revised 01 May 2008.
- Chen, Zhongdong & Craig, Karen Ann, 2023. "Active attention, retail investor base, and stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
- Hauser, Shmuel & Kedar-Levy, Haim, 2018. "Liquidity might come at cost: The role of heterogeneous preferences," Journal of Financial Markets, Elsevier, vol. 39(C), pages 1-23.
- Chang, Eric C. & Cheng, Joseph W. & Pinegar, J. Michael, 2008. "The factor structure of time-varying conditional volume," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 251-264, March.
- Christopher Hrdlicka, 2022. "Trading Volume and Time Varying Betas [Alpha or beta in the eye of the beholder: what drives hedge fund flows?]," Review of Finance, European Finance Association, vol. 26(1), pages 79-116.
- Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
- Andrea Marcello Buffa, 2004. "Strategic Insider Trading with Imperfect Information: A Trading Volume Analysis," Rivista di Politica Economica, SIPI Spa, vol. 94(6), pages 101-143, November-.
- Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015.
"Hedge Funds: A Dynamic Industry in Transition,"
Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
- Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.
- Boyce Watkins, 2007. "The economic and predictive value of trading volume growth: a tale of three moments," Applied Financial Economics, Taylor & Francis Journals, vol. 17(18), pages 1489-1509.
- Hiroshi Konno & Yuuhei Morita & Rei Yamamoto, 2010. "A maximal predictability portfolio using absolute deviation reformulation," Computational Management Science, Springer, vol. 7(1), pages 47-60, January.
- Bohmann, Marc & Michayluk, David & Patel, Vinay & Walsh, Kathleen, 2019. "Liquidity and earnings in event studies: Does data granularity matter?," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 118-131.
- Hiren Patel, 2021. "Target Price Achievement and Target Price Accuracy Models: An Analysis of Advisory Firms’ Recommendation for the Indian Banking Stocks," Global Business Review, International Management Institute, vol. 22(2), pages 459-473, April.
- Alain Guéniche & Philippe Dupuy & Wan Ni Lai, 2023. "Price contingent and price-volume contingent portfolio strategies," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 173-183, May.