Keith Vorkink

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

Provo, UT 84602

United States

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

SCHOLARLY PAPERS

18

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9,912

SSRN CITATIONS
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Top 3,453

in Total Papers Citations

342

CROSSREF CITATIONS

47

Scholarly Papers (18)

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1.

Investor Overconfidence and Trading Volume

Downloads 3,028 ( 5,803)

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 3,028 (5,700)
Citation 43

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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 1,790 (13,471)
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 1,549 (16,889)
Citation 38

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options, skewness, behavioral finance

4.

Equilibrium Underdiversification and the Preference for Skewness

Downloads 575 ( 67,304)

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 575 (66,562)
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

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G11, G12

5.

Whence GARCH? A Preference-Based Explanation for Conditional Volatility

Downloads 481 ( 83,870)
Citation 9

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 481 (83,127)
Citation 9

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6.

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

Downloads 395 (105,556)
Citation 6

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

Number of pages: 26 Posted: 13 Sep 2001
Douglas J. Hodgson, Oliver B. Linton and Keith Vorkink
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 338 (124,955)
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
Douglas J. Hodgson, Oliver B. Linton and Keith Vorkink
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 57 (502,324)

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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 351 (120,552)
Citation 16

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

8.

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

Downloads 322 (132,225)
Citation 15

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
Taylor Nadauld, Berk A. Sensoy, Keith Vorkink and Michael S. Weisbach
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 280 (152,192)
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
Taylor Nadauld, Berk A. Sensoy, Keith Vorkink and Michael S. Weisbach
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 42 (573,542)
Citation 14

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9.

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 316 (134,818)
Citation 9

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Diversification discount, expected returns, skewness

10.

Private Equity Indices Based on Secondary Market Transactions

Downloads 308 (138,542)

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
Brian H. Boyer, Taylor Nadauld, Keith Vorkink and Michael S. Weisbach
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 216 (196,605)

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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: 18 May 2022
Brian H. Boyer, Taylor Nadauld, Keith Vorkink and Michael S. Weisbach
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 92 (384,984)

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11.

Advertising, Visibility, and Stock Turnover

Number of pages: 44 Posted: 18 Mar 2010
Keith Vorkink, Eric DeRosia, Glenn Christensen and Grant Richard McQueen
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 216 (196,792)
Citation 1

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

12.

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

Downloads 207 (204,783)

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
Brian H. Boyer, Taylor Nadauld, Keith Vorkink and Michael S. Weisbach
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 125 (311,852)

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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

Journal of Finance, Forthcoming
Number of pages: 75 Posted: 16 Jun 2022
Brian H. Boyer, Taylor Nadauld, Keith Vorkink and Michael S. Weisbach
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 75 (435,452)

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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: 25 May 2022
Brian H. Boyer, Taylor Nadauld, Keith Vorkink and Michael S. Weisbach
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 7 (850,543)
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13.

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 207 (204,783)
Citation 4

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14.

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 150 (269,723)
Citation 4

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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 17 (725,281)
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
Douglas J. Hodgson, Barrett A. Slade, Barrett A. Slade and Keith Vorkink
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
Douglas J. Hodgson, Oliver B. Linton and Keith Vorkink
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