Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Keywords

Skewness, Stock (firearms), Financial economics, Econometrics, Economics

References

• Post-'87 Crash Fears in S&P 500 Futures OptionsDavid M. Bates — 1997
• Risk, Inflation, and the Stock MarketRobert S. Pindyck — 1983
• Inflation and the Stock MarketMartin Feldstein — 1978
• The Persistence of Volatility and Stock Market FluctuationsJames M. Poterba, Lawrence H. Summers — 1984
• No News is Good News: An Asymmetric Model of Changing Volatility in Stock ReturnsJohn Y. Campbell, Ludger Hentschel — 1992
• The stochastic behavior of common stock variances: valueAndrew Christie — 1982
• Expected stock returns and volatilityKenneth R. French, G. William Schwert, Robert F. Stambaugh — 1987
• On Testing for Speculative BubblesRobert P. Flood, Robert J. Hodrick — 1990
• Volume for Winners and Losers: Taxation and Other Motives for Stock TradingJosef Lakonishok, Seymour Smidt — 1986
• The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence: DiscussionGeorge M. Constantinides — 1985
• CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACHDaniel B. Nelson — 1991
• Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation: DiscussionAllan W. Kleidon — 1988
• Differences of Opinion Make a Horse RaceMilton Harris, Artur Raviv — 1993
• Noise Trader Risk in Financial MarketsJ. Bradford De Long, Andrei Shleifer, Lawrence H. Summers — 1990
• Underestimation of Portfolio Insurance and the Crash of October 1987Charles J. Jacklin, Allan W. Kleidon, Paul Pfeiderer — 1992
• On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on StocksLawrence R. Glosten, Ravi Jagannathan, David E. Runkle — 1993
• Good News, Bad News, Volatility, and BetasPhillip Braun, Daniel B. Nelson, Alain M. Sunier — 1995
• Bubbles, Rational Expectations and Financial MarketsOlivier Blanchard, Mark W. Watson — 1982
• The Pricing of Options and Corporate LiabilitiesFischer Black, Myron S. Scholes — 1973
• Finite Bubbles with Short Sale Constraints and Asymmetric InformationFranklin Allen, Stephen Morris, Andrew Postlewaite — 1993

Cited by

• Apreçamento da assimetria idiossincrática no mercado brasileiro de açõesBernardo Ricca — 2010
• Balance sheet explanations for asymmetric volatilityGregory R. Duffee — 2002
• The Next Microsoft? Skewness, Idiosyncratic Volatility, and Expected ReturnsNishad Kapadia — 2006
• Local home bias: Theory and new empirical evidence from ItalyGiulia Baschieri — 2012
• Short selling bans, banking share price dynamics tick by tick empirical evidence - an international comparisonXiaoli Wang — 2011
• The roles of systematic skewness and systematic kurtosis in asset pricingMinh Phuong Doan — 2011
• Essays on information asymmetry and the firmMiaomiao Yu — 2012
• CONSTRUCTING PERCEPTIONS OF VALUE: CORPORATE ACQUISITIONS IN THE COMMUNICATIONS INDUSTRIES,Brayden G. King — 2005
• Does Ownership Breadth Predict Stock Returns? New Evidence from Market- Wide Holdings Data *James J. Choi, Jin Li, Hongjun Yan — 2009
• Market Crashes and Investor Sentiment : The Case of TaiwanChung-An Li — 2008
• Fire-sales and Information Advantage: When Bank-Affiliation HelpsLei Zhang, Massimo Massa — 2012
• Forecasting Crashes: Correlated Fund Flows and the Skewness in Stock ReturnsXun Gong, Melissa Lin, Remco C. J. Zwinkels — 2014
• Options Trading and Stock Price Crash RiskMikhail Bhatia, Viet Nga Cao, Yangyang Chen — 2014
• Fire Sales and Information Advantage: When Informed Investor HelpsMassimo Massa, Lei Zhang — 2015
• Skewness Preference and Seasoned Equity OffersDon M. Autore, R. Jared DeLisle — 2016
• Essays on autoregressive conditional heteroskedasticityAnnastiina Silvennoinen — 2006
• ESSAYS ON STOCK OPTIONS, INCENTIVES, AND MANAGERIAL ACTIONDaniel Pasternack — 2002
• A variabilidade temporal da incerteza no mercado ácionário brasileiro e a relação entre os retornos do mercados de renda fixa e renda variávelCássio Hanna Valdujo — 2007
• Can Momentum Factors Be Used to Enhance Accounting Information Based Fundamental Analysis in Explaining Stock Price MovementsKiHoon Hong, Eliza Wu — 2014
• Corporate Governance and Stock Price Crash Risk: Evidence from UK Panel DataValentina Tarkovska — 2016

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