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Purdue University - Krannert School of Management
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Systematic risk, stochastic volatility, idiosyncratic volatility
stock return predictability, option-implied volatility smirks, cross-sectional asset pricing
hedge fund performance, manager characteristics, hedge fund flows
short selling, financial crisis, Section 12(k)(2)
idiosyncratic volatility, trend test, regime switching model, diversification, return correlation, volatility dynamics, growth opportunities, variance premium, contagion
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP8149.
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contagion, diversification, growth opportunities, idiosyncratic volatility, regime switching model, return correlation, trend test, variance premium, volatility dynamics
idiosyncratic volatility, Fama-MacBeth regression
short selling, return predictability, informed trading
Comovements, APT model, international diversification, correlation dynamics, industry-country debate, factor models, global market integration
File name: SSRN-id954734.
International diversification, correlation dynamics, country debate, factor models, comovements
option returns, straddle, earnings announcement, transaction costs
investor sentiment index, return predictability, business cycle
short-selling, earnings news, analyst recommendations, analyst forecasts
risk-shifting, idiosyncratic volatility puzzle, profitability, agency conflict
Stochastic Discount Factor, Specification Tests, Model Selection, HJ distance, Arbitrage
asset pricing, arbitrage, contingent claims
Hedge funds, high-water mark, incentive fee, competition, asymmetric information
interference, short sales, short interest, tick test, Regulation SHO
Hedge Fund, Risk-Taking, Incentive Fee, Management Fee, High-Water Mark
multinational companies, international diversification, returns
Short selling, Short-sale Regulations, Market Development, Short-sale Ban
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