Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices
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- Type
- article
- Published
- 2001-09-01
- Cited by
- 1,915
- References
- 70
- OpenAlex
- https://openalex.org/W3122526219
Keywords
Skewness, Economics, Stock (firearms), Econometrics, Financial economics
References
- Separation of human fibrinopeptides by capillary zone electrophoresis
- Post-'87 Crash Fears in S&P 500 Futures Options
- Risk, Inflation, and the Stock Market
- The Crash of '87
- No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
- The stochastic behavior of common stock variances: value
- Expected stock returns and volatility
- On Testing for Speculative Bubbles
- Stock Returns and Volatility
- Volume for Winners and Losers: Taxation and Other Motives for Stock Trading
- CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
- Differences of Opinion Make a Horse Race
- Noise Trader Risk in Financial Markets
- Underestimation of Portfolio Insurance and the Crash of October 1987
- On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
- Good News, Bad News, Volatility, and Betas
- The Pricing of Options and Corporate Liabilities
- Risk, Return, and Equilibrium
- Finite Bubbles with Short Sale Constraints and Asymmetric Information
- Differential Interpretation of Public Signals and Trade in Speculative Markets
Cited by
- Apreçamento da assimetria idiossincrática no mercado brasileiro de ações
- Balance sheet explanations for asymmetric volatility
- Short selling bans, banking share price dynamics tick by tick empirical evidence - an international comparison
- The roles of systematic skewness and systematic kurtosis in asset pricing
- Essays on information asymmetry and the firm
- Does Ownership Breadth Predict Stock Returns? New Evidence from Market- Wide Holdings Data *
- Market Crashes and Investor Sentiment : The Case of Taiwan
- Fire-sales and Information Advantage: When Bank-Affiliation Helps
- Forecasting Crashes: Correlated Fund Flows and the Skewness in Stock Returns
- Options Trading and Stock Price Crash Risk
- ESSAYS ON STOCK OPTIONS, INCENTIVES, AND MANAGERIAL ACTION
- Busy Boards, Cash Holdings and Corporate Liquidity: Evidence from UK Panel Data
- A variabilidade temporal da incerteza no mercado ácionário brasileiro e a relação entre os retornos do mercados de renda fixa e renda variável
- Can Momentum Factors Be Used to Enhance Accounting Information Based Fundamental Analysis in Explaining Stock Price Movements
- Stale economic news, media and the stock market
- O EFEITO DE DETERMINANTES MICROECONÔMICOS E CONJUNTURAIS SOBRE A VOLATILIDADE DOS RETORNOS DAS PRINCIPAIS AÇÕES NEGOCIADAS NO BRASIL
- A Glass half full: Contrarian trading in the flash crash 1
- Industry Competition Structure, Market Power, and Stock Price Crash Risk
- Bank Loan Loss Accounting Treatments, Credit Cycles and Crash Risk
- Home and foreign investor sentiment and the stock returns
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