Advances in Quantitative Analysis of Finance and Accounting
暂无分享,去创建一个
[1] W. Sharpe. CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* , 1964 .
[2] S. Ross. THE CAPITAL ASSET PRICING MODEL (CAPM), SHORT‐SALE RESTRICTIONS AND RELATED ISSUES , 1977 .
[3] P. J. Hughes,et al. Stock Prices and the Supply of Information , 1991 .
[4] Scott E. Stickel. Reputation and Performance Among Security Analysts , 1992 .
[5] M. Rubinstein.. The Fundamental Theorem of Parameter-Preference Security Valuation , 1973, Journal of Financial and Quantitative Analysis.
[6] A. Tversky,et al. Prospect Theory. An Analysis of Decision Making Under Risk , 1977 .
[7] R. C. Merton,et al. Presidential Address: A simple model of capital market equilibrium with incomplete information , 1987 .
[8] A. Christie,et al. The stochastic behavior of common stock variances: value , 1982 .
[9] Hans R. Stoll,et al. Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests , 1989 .
[10] Scott E. Stickel. Predicting Individual Analyst Earnings Forecasts , 1990 .
[11] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[12] James C. T. Mao,et al. SURVEY OF CAPITAL BUDGETING: THEORY AND PRACTICE , 1970 .
[13] J. Lintner. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS , 1965 .
[14] H. Stoll,et al. Stock Market Structure and Volatility , 1990 .
[15] Gary C. Sanger,et al. The Puzzle in Post‐Listing Common Stock Returns , 1987 .
[16] Stephen A. Ross,et al. A Test of the Efficiency of a Given Portfolio , 1989 .
[17] Stephen Figlewski,et al. Estimation of the Optimal Futures Hedge , 1988 .
[18] Ananth N. Madhavan,et al. Trading Mechanisms in Securities Markets , 1992 .
[19] K. Lim. A New Test of the Three-Moment Capital Asset Pricing Model , 1989, Journal of Financial and Quantitative Analysis.
[20] D. M. Holthausen,et al. A Risk-Return Model with Risk and Return Measured as Deviations from a Target Return , 1981 .
[21] B. Barber,et al. The “Dartboard” Column: Second-Hand Information and Price Pressure , 1993, Journal of Financial and Quantitative Analysis.
[22] H. White. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity , 1980 .
[23] J. Ord,et al. An Investigation of Transactions Data for NYSE Stocks , 1985 .
[24] H. Demsetz,et al. The Cost of Transacting , 1968 .
[25] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[26] Robert J. Myers,et al. Bivariate garch estimation of the optimal commodity futures Hedge , 1991 .
[27] Richard J. Rendleman. Optimal Long-Run Option Investment Strategies , 1981 .
[28] Richard Roll,et al. A Critique of the Asset Pricing Theory''s Tests: Part I , 1977 .
[29] Pu Liu,et al. Stock Price Reactions to The Wall Street Journal's Securities Recommendations , 1990, Journal of Financial and Quantitative Analysis.
[30] H. Stoll. THE PRICING OF SECURITY DEALER SERVICES: AN EMPIRICAL STUDY OF NASDAQ STOCKS , 1978 .
[31] K. Kroner,et al. Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures , 1993, Journal of Financial and Quantitative Analysis.
[32] Charles M. C. Lee,et al. Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis , 1993 .
[33] Thomas H. McInish,et al. An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks , 1992 .
[34] John J. McConnell,et al. Stock Exchange Listings, Firm Value, and Security Market Efficiency: The Impact of NASDAQ , 1986, Journal of Financial and Quantitative Analysis.
[35] Avanidhar Subrahmanyam,et al. A Theory of Trading in Stock Index Futures , 1991 .
[36] Charles M. C. Lee,et al. Inferring Trade Direction from Intraday Data , 1991 .
[37] I. Friend,et al. Co‐Skewness and Capital Asset Pricing , 1980 .
[38] Theoharry Grammatikos,et al. Stability and the hedging performance of foreign currency futures , 1983 .
[39] W. Fuller,et al. LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME SERIES WITH A UNIT ROOT , 1981 .
[40] Myron S. Scholes,et al. Estimating betas from nonsynchronous data , 1977 .
[41] L. Hansen. LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OF , 1982 .
[42] Asim Ghosh,et al. Hedging with Stock Index Features: Estimating and Forecasting with Error Correction Model , 1993 .
[43] Hersh Shefrin,et al. Behavioral aspects of the design and marketing of financial products , 1993 .
[44] Robert J. Myers,et al. Generalized Optimal Hedge Ratio Estimation , 1988 .
[45] Thomas H. Mcinish,et al. Adjusting for Beta Bias: An Assessment of Alternate Techniques: A Note , 1986 .
[46] K. Kroner,et al. Optimal dynamic hedging portfolios and the currency composition of external debt , 1991 .
[47] C. Granger,et al. Co-integration and error correction: representation, estimation and testing , 1987 .
[48] A. Kyle. Continuous Auctions and Insider Trading , 1985 .
[49] P. Fishburn. Mean-Risk Analysis with Risk Associated with Below-Target Returns , 1977 .
[50] L. Harris. A transaction data study of weekly and intradaily patterns in stock returns , 1986 .
[51] Leonard Rosenthal,et al. The seemingly anomalous price behavior of Royal Dutch/Shell and Unilever N.V./PLC , 1990 .
[52] Thomas J. George,et al. Estimation of the Bid-Ask Spread and Its Components: A New Approach , 1991 .
[53] E. Fama,et al. Risk, Return, and Equilibrium: Empirical Tests , 1973, Journal of Political Economy.
[54] Avanidhar Subrahmanyam,et al. Liquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stocks , 1993 .