인용/피인용
고차적률위험과 주식 수익률의 횡단면
심명화
2018년
' 고차적률위험과 주식 수익률의 횡단면' 의 참고문헌
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주식시장의 순위모멘텀 전략심명화 [2018]
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자기자본비용의 추정에 관한 연구-규모와 장부가/시장가 요인을 고려한 실증분석송영출 [1997]
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실현왜도의 주식수익률 예측심명화 [2016]
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분산프리미엄의 수익률 예측에 대한 연구 : S&P500 및 KOSPI200 지수에 대한 증거윤선중 [2014]
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변동성, 왜도, 첨도와 주식수익률의 횡단면심명화 [2016]
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“모멘텀과 기업규모의 관계”엄윤성 [2013]
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Understanding Risk and ReturnCampbell, J. Y. [1996]
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The Cross‐ction of Volatility and Expected ReturnsAng, A. [2006]
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Stock Returns and Volatility: Pricing the Short‐n and Long‐n Components of Market RiskAdrian, T. [2008]
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Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity OptionsBakshi, G. [2003]
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Speculative retail trading and asset pricesHan, B. [2013]
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Spanning and Derivative-security ValuationBakshi, G. [2000]
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Skewness and Kurtosis in S&P 500 Index Returns Implied by Option PricesCorrado, C. J. [1996]
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Skewness Preference and the Valuation of Risk AssetsKraus, A. [1976]
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Risk, return, and equilibrium : Empirical testsFama, E. F. [1973]
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Returns to buying winners and selling losers: Implications for stock market efficiencyJegadeesh, N. [1993]
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Pricing Kernels with Stochastic Skewness and Volatility RiskChabi-Yo, F. [2012]
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Optimal Positioning in Derivative Securities
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On persistence in mutual fund performanceCarhart, M. M. [1997]
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Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity ReturnsDittmar, R. F. [2002]
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Market Skewness Risk and the Cross Section of Stock ReturnsChang, B. Y. [2013]
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Investor Sentiment and Option PricesHan, B. [2007]
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Illiquidity and stock returns: cross-section and time-series effectsAmihud, Y. [2002]
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Does Risk-neutrgal Skewness Predict the Cross-section of Equity Option Portfolio Returns?Bali, T. G. [2013]
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Dissecting AnomaliesFama, E. F. [2008]
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Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and EvidenceChabi-Yo, F. [2007]
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Conditional skewness in asset pricing testsHarvey, C.R [2000]
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Common risk factors in the returns on stocks and bondsFama E. F. [1993]
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An intertemporal capital asset pricing modelMerton, R. C. [1973]
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A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrixNewey, W. K. [1987]