Do Stock Markets Price Ex-Ante Skewness? New Quantile Regression-Based Evidence-Reference-Cited by-同舟云学术

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Do Stock Markets Price Ex-Ante Skewness? New Quantile Regression-Based Evidence

Published:2014 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Aretz Kevin,Arisoy Yakup Eser

Publisher

Elsevier BV

Reference8 articles.

1. Measuring mutual fund performance with characteristic-based benchmarks;K Daniel;The Journal of Finance,1997

2. Common risk factors in the returns on stocks and bonds;E F Fama;Journal of Financial Economics,1993

3. Long-horizon returns;E F Fama;The Review of Asset Pricing Studies,2018

4. Risk, return, and equilibrium: Empirical tests;E F Fama;Journal of Political Economy,1973

5. Have we solved the idiosyncratic volatility puzzle?;K Hou;Journal of Financial Economics,2016

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Split sample skewness;Communications in Statistics - Theory and Methods;2020-08-17

2. Timing the stock market: Does it really make no sense?;Journal of Behavioral and Experimental Finance;2016-06

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