Keith Vorkink

Brigham Young University - J. Willard and Alice S. Marriott School of Management

Provo, UT 84602

United States

SCHOLARLY PAPERS

17

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8,411

CITATIONS
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Top 3,944

in Total Papers Citations

205

Scholarly Papers (17)

1.
Downloads 2,775 ( 4,130)
Citation 27

Investor Overconfidence and Trading Volume

AFA 2004 San Diego Meetings
Number of pages: 52 Posted: 24 Oct 2003
Meir Statman, Steven Thorley and Keith Vorkink
Santa Clara University - Department of Finance, BYU Marriott School of Business and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 2,775 (4,037)
Citation 27

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Investor Overconfidence and Trading Volume

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1531-1565, 2006
Posted: 29 Feb 2008
Meir Statman, Steven Thorley and Keith Vorkink
Santa Clara University - Department of Finance, BYU Marriott School of Business and Brigham Young University - J. Willard and Alice S. Marriott School of Management

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2.

Expected Idiosyncratic Skewness

Number of pages: 54 Posted: 04 Feb 2008 Last Revised: 17 May 2011
Brian H. Boyer, Todd Mitton and Keith Vorkink
Brigham Young University - J. Willard and Alice S. Marriott School of Management, Brigham Young University - J. Willard and Alice S. Marriott School of Management and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 1,407 (12,760)
Citation 3

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3.

Stock Options as Lotteries

Journal of Finance, Forthcoming
Number of pages: 57 Posted: 18 Mar 2011 Last Revised: 21 Jun 2013
Brian H. Boyer and Keith Vorkink
Brigham Young University - J. Willard and Alice S. Marriott School of Management and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 1,254 (15,262)
Citation 4

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options, skewness, behavioral finance

Equilibrium Underdiversification and the Preference for Skewness

Number of pages: 56 Posted: 10 Dec 2004
Todd Mitton and Keith Vorkink
Brigham Young University - J. Willard and Alice S. Marriott School of Management and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 514 (52,495)
Citation 4

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Equilibrium Underdiversification and the Preference for Skewness

The Review of Financial Studies, Vol. 20, Issue 4, pp. 1255-1288, 2007
Posted: 25 Jun 2008
Todd Mitton and Keith Vorkink
Brigham Young University - J. Willard and Alice S. Marriott School of Management and Brigham Young University - J. Willard and Alice S. Marriott School of Management

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G11, G12

Whence GARCH? A Preference-Based Explanation for Conditional Volatility

Number of pages: 48 Posted: 13 Dec 2002
Grant Richard McQueen and Keith Vorkink
Brigham Young University - Department of Business Management and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 469 (58,974)
Citation 1

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Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach

Number of pages: 26 Posted: 13 Sep 2001
University of Quebec at Montreal (UQAM) - Department of Economics, University of Cambridge and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 330 (89,621)

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Adaptive Estimation, Capital Asset Pricing Model, Elliptical Symmetry, Semiparametric Efficiency

Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach

LSE STICERD Research Paper No. EM398
Number of pages: 39 Posted: 21 Jul 2008
University of Quebec at Montreal (UQAM) - Department of Economics, University of Cambridge and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 54 (378,977)

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7.

Multivariate Realized Stock Market Volatility

Number of pages: 59 Posted: 19 Oct 2006
Gregory H. Bauer and Keith Vorkink
University of Rochester - Simon School and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 327 (91,141)
Citation 8

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HAR-RV model, realized volatility, covariance matrix, factor model, long memory, tracking error

8.

Why Do Firms with Diversification Discounts Have Higher Expected Returns?

Number of pages: 38 Posted: 27 Sep 2006 Last Revised: 31 Jul 2008
Todd Mitton and Keith Vorkink
Brigham Young University - J. Willard and Alice S. Marriott School of Management and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 306 (97,980)
Citation 1

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Diversification discount, expected returns, skewness

The Liquidity Cost of Private Equity Investments: Evidence from Secondary Market Transactions

Fisher College of Business Working Paper No. 2016-03-011, Charles A. Dice Center Working Paper No. 2016-11
Number of pages: 52 Posted: 02 Jul 2016 Last Revised: 26 Aug 2017
Brigham Young University, Vanderbilt University - Finance, Brigham Young University - J. Willard and Alice S. Marriott School of Management and Ohio State University (OSU) - Department of Finance
Downloads 228 (132,703)

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Private Equity, Secondary Market for Private Equity Funds, Liquidity, Transactions Costs

The Liquidity Cost of Private Equity Investments: Evidence from Secondary Market Transactions

NBER Working Paper No. w22404
Number of pages: 43 Posted: 11 Jul 2016
Brigham Young University, Vanderbilt University - Finance, Brigham Young University - J. Willard and Alice S. Marriott School of Management and Ohio State University (OSU) - Department of Finance
Downloads 25 (505,211)
Citation 1

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Private Equity Indices Based on Secondary Market Transactions

Fisher College of Business Working Paper No. 2018-03-021, Charles A. Dice Center Working Paper No. 2018-21
Number of pages: 57 Posted: 25 Oct 2018
Brigham Young University - J. Willard and Alice S. Marriott School of Management, Brigham Young University, Brigham Young University - J. Willard and Alice S. Marriott School of Management and Ohio State University (OSU) - Department of Finance
Downloads 138 (208,409)

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Private Equity, Secondary Market for Private Equity Funds, Market Index

Private Equity Indices Based on Secondary Market Transactions

NBER Working Paper No. w25207
Number of pages: 57 Posted: 05 Nov 2018
Brigham Young University - J. Willard and Alice S. Marriott School of Management, Brigham Young University, Brigham Young University - J. Willard and Alice S. Marriott School of Management and Ohio State University (OSU) - Department of Finance
Downloads 54 (378,977)
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11.

Correlated Collateral

Number of pages: 63 Posted: 22 Mar 2010 Last Revised: 16 Jan 2012
Taylor Nadauld, Shane M. Sherlund and Keith Vorkink
Brigham Young University, Federal Reserve Board of Governors and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 187 (160,507)
Citation 2

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12.

Advertising, Visibility, and Stock Turnover

Number of pages: 44 Posted: 18 Mar 2010
Brigham Young University - J. Willard and Alice S. Marriott School of Management, Brigham Young University - Department of Business Management, Brigham Young University - Department of Business Management and Brigham Young University - Department of Business Management
Downloads 186 (161,278)
Citation 1

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stock turnover, advertising, visibility, behavioral finance, Super Bowl

13.

Neighborhood Effects on Speculative Behavior

Number of pages: 40 Posted: 31 Aug 2012 Last Revised: 15 Sep 2017
Todd Mitton, Keith Vorkink and Ian J. Wright
Brigham Young University - J. Willard and Alice S. Marriott School of Management, Brigham Young University - J. Willard and Alice S. Marriott School of Management and Goldman Sachs - Goldman Sachs
Downloads 143 (201,982)
Citation 5

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14.

Asset Pricing Theory and the Valuation of Canadian Paintings

Canadian Journal of Economics, Vol. 37, No. 3. pp. 629-655, August 2004
Number of pages: 27 Posted: 12 Jul 2004
Douglas J. Hodgson and Keith Vorkink
University of Quebec at Montreal (UQAM) - Department of Economics and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 14 (554,081)
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15.

Expected Idiosyncratic Skewness

The Review of Financial Studies, Vol. 23, Issue 1, pp. 169-202, 2009
Posted: 25 Jan 2010
Brian Boyer, Todd Mitton and Keith Vorkink
Brigham Young University, Brigham Young University - J. Willard and Alice S. Marriott School of Management and Brigham Young University - J. Willard and Alice S. Marriott School of Management

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D03, G11, G12

16.

Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach

Journal of Real Estate Finance and Economics, Vol. 32, No. 2, 2006
Posted: 09 Sep 2005
University of Quebec at Montreal (UQAM) - Department of Economics, Independent and Brigham Young University - J. Willard and Alice S. Marriott School of Management

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hedonic price indices, commercial office property, semiparametric adaptive estimators

17.

Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach

Journal of Applied Economics, Vol. 7, No. I, pp. 325-353, 2004
Posted: 28 Feb 2005
University of Quebec at Montreal (UQAM) - Department of Economics, University of Cambridge and Brigham Young University - J. Willard and Alice S. Marriott School of Management

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forward exchange market, time series econometrics, nonparametric statistics