Keith Vorkink

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

Provo, UT 84602

United States

SCHOLARLY PAPERS

18

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SSRN CITATIONS
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Top 3,398

in Total Papers Citations

341

CROSSREF CITATIONS

62

Scholarly Papers (18)

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 2,954 (5,124)
Citation 63

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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 1,659 (13,249)
Citation 84

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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 1,468 (16,077)
Citation 38

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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 560 (61,211)
Citation 137

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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

Abstract:

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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 478 (74,620)
Citation 9

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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 337 (112,081)
Citation 1

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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 56 (461,837)

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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 344 (110,215)
Citation 16

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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 313 (122,220)
Citation 8

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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 256 (149,944)
Citation 2

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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 Last Revised: 21 Mar 2021
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 36 (554,791)
Citation 14

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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: 55 Posted: 25 Oct 2018 Last Revised: 14 Sep 2019
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 194 (195,700)

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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 Last Revised: 17 May 2021
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 82 (375,390)

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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, Board of Governors of the Federal Reserve System and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 200 (190,574)
Citation 4

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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 200 (190,574)
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 148 (246,769)
Citation 4

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Discount Rate Risk in Private Equity: Evidence from Secondary Market Transactions

Fisher College of Business Working Paper No. 2021-03-004, Charles A. Dice Center Working Paper No. 2021-04
Number of pages: 61 Posted: 12 Apr 2021
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 90 (354,198)

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

Discount Rate Risk in Private Equity: Evidence from Secondary Market Transactions

NBER Working Paper No. w28691
Number of pages: 61 Posted: 19 Apr 2021 Last Revised: 24 May 2021
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 5 (787,012)
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15.

Asset Pricing Theory and the Valuation of Canadian Paintings

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 (684,772)
Citation 1
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16.

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

17.

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, Brigham Young UniversityIndependent 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

18.

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