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A quantile regression analysis of the cross section of stock market returns. (2002). Barnes, Michelle ; Hughes, Anthony W..
In: Working Papers.
RePEc:fip:fedbwp:02-2.

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  1. Are public transit investments based on accurate forecasts? An analysis of the improving trend of transit ridership forecasts in the United States. (2024). Hoque, Jawad Mahmud ; Zhang, Ian ; Erhardt, Gregory D ; Schmitt, David.
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  2. Herding Behavior in Frontier Nordic Countries. (2023). Arina, Ivasiuc.
    In: Studia Universitatis Babe?-Bolyai Oeconomica.
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  3. Impact of COVID-19 Pandemic on Financial Markets: a Global Perspective. (2023). Ullah, Sabeeh.
    In: Journal of the Knowledge Economy.
    RePEc:spr:jknowl:v:14:y:2023:i:2:d:10.1007_s13132-022-00970-7.

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  4. Carbon default swap – disentangling the exposure to carbon risk through CDS. (2023). Taschini, Luca ; Kiesel, Rudiger ; Blasberg, Alexander.
    In: LSE Research Online Documents on Economics.
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  5. Carbon default swap – disentangling the exposure to carbon risk through CDS. (2023). Taschini, Luca ; Kiesel, Rudiger ; Blasberg, Alexander.
    In: LSE Research Online Documents on Economics.
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  6. Fan tokens: Sports and speculation on the blockchain. (2023). Zimmermann, Lukas ; Scharnowski, Stefan.
    In: Journal of International Financial Markets, Institutions and Money.
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  7. COVID-19 pandemic and herd behavior: Evidence from a frontier market. (2023). Giang, Thi Huong ; Bakry, Walid ; Nguyen, Huu Manh.
    In: Journal of Behavioral and Experimental Finance.
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  8. Risk factor extraction with quantile regression method. (2022). Sun, Edward W ; Lai, Wan-Ni.
    In: Annals of Operations Research.
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  9. Understanding the effects of economic policy uncertainty on US tourism firms’ performance. (2022). Demir, Ender ; Dez-Esteban, Jos Mara ; Chen, Ming-Hsiang ; Garca-Gmez, Conrado Diego.
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  10. Herding behaviour heterogeneity under economic and political risks: Evidence from GCC. (2022). Molyneux, Philip ; Albaity, Mohamed ; Mallek, Ray Saadaoui.
    In: Economic Analysis and Policy.
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  11. Carbon Default Swap - Disentangling the Exposure to Carbon Risk through CDS. (2022). Taschini, Luca ; Kiesel, Rudiger ; Blasberg, Alexander.
    In: CESifo Working Paper Series.
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  12. Modelling Stock Returns and Risk Management in the Shipping Industry. (2021). Westgaard, Sjur ; Aadland, Roar ; Mohanty, Sunil K ; Kristensen, Cecilie ; Lillienskiold, Hilde ; Frydenberg, Stein.
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  13. Estimating the uncertainty of traffic forecasts from their historical accuracy. (2021). Erhardt, Gregory D ; Hoque, Jawad Mahmud ; Wachs, Martin ; Chen, Mei ; Eichen, M ; Schmitt, David.
    In: Transportation Research Part A: Policy and Practice.
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  14. Analyzing the Nonlinear Pricing of Liquidity Risk according to the Market State. (2021). Uribe, Jorge ; Chuliá, Helena ; Chulia, Helena ; Koser, Christoph.
    In: Finance Research Letters.
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  15. Stock returns, quantile autocorrelation, and volatility forecasting. (2021). Cai, Yuzhi ; Upreti, Vineet ; Zhao, Yixiu.
    In: International Review of Financial Analysis.
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  16. RETRACTED ARTICLE: Google Search Intensity and the Investor Attention Effect: A Quantile Regression Approach. (2020). Swamy, Vighneswara ; Dharani, M.
    In: Journal of Quantitative Economics.
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  17. Investor-herding and risk-profiles: A State-Space Model-based Assessment. (2020). Brooks, Robert D ; Nath, Harminder B.
    In: Monash Econometrics and Business Statistics Working Papers.
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  18. The Impact of Financial Statement Comparability on Earnings Management: Evidence from Frontier Markets. (2020). Safari, Maryam ; Martens, Wil.
    In: IJFS.
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  19. Investor Sentiment and Herding Behavior in the Korean Stock Market. (2020). Yoon, Seong-Min ; Choi, Ki-Hong.
    In: IJFS.
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  20. Investor-herding and risk-profiles: A State-Space model-based assessment. (2020). Brooks, Robert D ; Nath, Harmindar B.
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  21. Investor attention and Google Search Volume Index: Evidence from an emerging market using quantile regression analysis. (2019). Takeda, Fumiko ; Swamy, Vighneswara ; Dharani, M.
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  22. The effect of ex ante and ex post conservatism on the cost of equity capital: A quantile regression approach for MENA countries. (2018). Khalifa, Maha ; Hussainey, Khaled ; ben Othman, Hakim.
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  23. Idiosyncratic volatility and stock returns: Indian evidence. (2017). Ansari, Valeed Ahmad ; McMillan, David.
    In: Cogent Economics & Finance.
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  24. Does persistence in idiosyncratic risk proxy return-reversals?. (2017). Sarafidis, Vasilis ; Nath, Harmindar B.
    In: Journal of Banking and Financial Economics.
    RePEc:sgm:jbfeuw:v:2:y:2017:i:8:p:27-53.

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  25. Time-Varying and Spatial Herding Behavior in the US Housing Market: Evidence from Direct Housing Prices. (2017). Hassan, M. Kabir ; Sohn, Daniel P ; Ngene, Geoffrey M.
    In: The Journal of Real Estate Finance and Economics.
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  26. Board characteristics and the amount of capital raised in the Malaysian IPO market. (2017). Badru, Bazeet O ; Wan-Hussin, Wan Nordin ; Ahmad-Zaluki, Nurwati A.
    In: Journal of Multinational Financial Management.
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  27. Investor sentiment and country exchange traded funds: Does economic freedom matter?. (2017). Lee, Chien-Chiang ; Hsu, Yi-Chung ; Chen, Mei-Ping.
    In: The North American Journal of Economics and Finance.
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  28. Herding behavior, market sentiment and volatility: Will the bubble resume?. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Lucey, Brian ; Jlassi, Mouna.
    In: The North American Journal of Economics and Finance.
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  29. Interest Rate Sensitivity of Spanish Industries: A Quantile Regression Approach. (2017). Jareño, Francisco ; Jareo, Francisco ; Ferrer, Roman ; Ferrando, Laura.
    In: Manchester School.
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  30. Take it to the limit: Innovative CVaR applications to extreme credit risk measurement. (2016). Powell, Robert ; Allen, David ; Singh, A K.
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  31. Pricing Ability of Four Factor Model using Quantile Regression: Evidences from India. (2016). Sharma, Prashant ; Singh, Anurag ; Gupta, Prashant.
    In: International Journal of Economics and Financial Issues.
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  32. Working Capital as a Determinant of Corporate Profitability. (2015). Madhou, Ashwin ; Ramiah, Vikash ; Moosa, Imad.
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  33. An alternative method for identifying booms and busts in the Euro area housing market. (2015). Lenarčič, Andreja ; Roffia, Barbara ; Gerdesmeier, Dieter.
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  34. Assessing the idiosyncratic risk and stock returns relation in heteroskedasticity corrected predictive models using quantile regression. (2015). Nath, Harmindar B. ; Brooks, Robert D..
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  35. Quantile cointegration in the autoregressive distributed-lag modeling framework. (2015). shin, yongcheol ; Kim, Tae-Hwan ; Cho, Jin Seo.
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  36. Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework. (2014). shin, yongcheol ; Kim, Tae-Hwan ; Cho, Jin Seo.
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  37. Analysis of Herd Behavior Using Quantile Regression: Evidence from Karachi Stock Exchange (KSE). (2014). Ullah, Saif ; Elahi, Muhammad Ather ; Malik, Saif Ullah .
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  38. Predicting Stock Returns in the Capital Asset Pricing Model Using Quantile Regression and Belief Functions. (2014). Autchariyapanitkul, K ; Denoeux, T ; Sriboonchitta, S ; Chanaim, S.
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  39. CoVaR. (2014). Brunnermeier, Markus ; Adrian, Tobias.
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  41. Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression. (2013). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. ; Thomas, Lyn ; Taylor, James.
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  42. An Empirical Investigation of Herding Behavior in the U.S. REIT Market. (2013). Zhou, Jian ; Anderson, Randy .
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  44. Advertising, research and development, and capital market risk: higher risk firms versus lower risk firms. (2012). Wei, An-Pin ; Chen, Miao-Ling ; Peng, Chi-Lu .
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  46. The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions. (2012). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K ; Thomas, Lyn ; Taylor, James.
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  47. Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance. (2012). Shyu, So-De ; Chen, Ming-Chi ; Zeng, Jhih-Hong ; Peng, Chi-Lu.
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  48. Stock Returns and Risk: Evidence from Quantile. (2012). Chiang, Thomas C. ; Li, Jiandong.
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  49. Corporate governance and cash holdings: A quantile regression approach. (2012). Li, Chu-Shiu ; Kuan, Tsung-Han ; Liu, Chwen-Chi.
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  50. Diversification and risk-adjusted performance: A quantile regression approach. (2012). Lee, BongSoo ; Li, Ming-Yuan Leon .
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  51. An alternative method for identifying booms and busts in the euro area housing market. (2012). Roffia, Barbara ; Lenarčič, Andreja ; Gerdesmeier, Dieter ; Lenari, Andreja .
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  52. The reaction of stock market returns to anticipated unemployment. (2012). Taamouti, Abderrahim ; Gonzalo, Jesus.
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  53. QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS. (2011). Powell, Robert ; Allen, David ; Singh, A K.
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  55. Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis. (2010). Chiang, Thomas ; Li, Jiandong ; Tan, Lin.
    In: Global Finance Journal.
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  58. Quantile regression analysis of hedge fund strategies. (2009). Vrontos, Ioannis D. ; Meligkotsidou, Loukia.
    In: Journal of Empirical Finance.
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  59. The Effect of Prior Gains and Losses on Current Risk-Taking Using Quantile Regression. (2009). Garcia, Philip ; Mattos, Fabio .
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  60. Return forecasts and optimal portfolio construction: a quantile regression approach. (2008). Pohlman, Larry.
    In: The European Journal of Finance.
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  61. Olive: a simple method for estimating betas when factors are measured with error.. (2007). Hu, Gang ; Bai, Jushan ; Meng, Ginger .
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  62. Shipping Deregulations Wage Effect on Low and High Wage Dockworkers. (2006). Peoples, James ; Talley, Wayne K. ; Thanabordeekij, Pithoon.
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Cocites

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  2. Does stock market liquidity explain real economic activity? New evidence from two large European stock markets. (2015). ARTIKIS, PANAGIOTIS ; Apergis, Nicholas ; Kyriazis, Dimitrios .
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  3. Market liquidity and stock size premia in emerging financial markets: The implications for foreign investment. (2010). Hearn, Bruce ; Strange, Roger ; Piesse, Jenifer.
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  4. Dynamic Sources of Sovereign Bond Market Liquidity. (2009). Kücük, Uğur.
    In: MPRA Paper.
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  5. IPO underpricing and after-market liquidity. (2006). Pagano, Marco ; Ellul, Andrew.
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  6. Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs. (2004). Lynch, Anthony W. ; Tan, Sinan .
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  7. Do Stock Prices Really Reflect Fundamental Values? The Case of REITs. (2004). Mayer, Christopher ; Gentry, William ; Jones, Charles M..
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  8. Over-the-Counter Markets. (2004). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae.
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  10. Financial Claustrophobia: Asset Pricing in Illiquid Markets. (2004). Longstaff, Francis.
    In: NBER Working Papers.
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  11. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. (2004). Vayanos, Dimitri.
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  12. Look at me now: the role of cross-listing in attracting U.S. investors. (2004). Warnock, Francis ; Smith, David C. ; Holland, Sara B. ; Ammer, John.
    In: International Finance Discussion Papers.
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  13. Market based compensation, trading and liquidity. (2004). Heider, Florian ; Calcagno, Riccardo.
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  14. Migration, spillovers, and trade diversion : the impact of internationalization on stock market liquidity. (2003). Schmukler, Sergio ; Levine, Ross.
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  16. Migration, Spillovers,and Trade Diversion: The Impact of Internationalization on Stock Market Liquidity. (2003). Schmukler, Sergio ; Levine, Ross.
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  17. Stock splits: motivations and valuation effects in the Spanish market. (2003). Gómez Ansón, Silvia ; Menendez, Susana.
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  19. On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation. (2003). Ghysels, Eric ; Pereira, Joo.
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  20. Commonality in Liquidity: Transmission of Liquidity Shocks across Investors and Securities. (2002). Fernando, Chitru S..
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  23. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. (2002). Nieto, Belen ; Miguel Angel A. Martinez, ; Rubio, Gonzalo.
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  24. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. (2002). Martinez Sedano, Miguel ; Nieto, Belen ; Tapia, Mikel ; Rubio, Gonzalo.
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  25. The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ. (2002). Gravelle, Toni.
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  26. Liquidity Shocks, Systemic Risk, and Market Collapse: Theory and Application to the Market for Perps. (2001). Fernando, Chitru S. ; Herring, Richard J..
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  27. Market Structure and Stock Splits. (2001). Michayluk, David ; Kofman, Paul .
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  28. Liquidity Risk and Expected Stock Returns. (2001). Stambaugh, Robert ; Pastor, Lubos.
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  29. Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows. (2001). Subrahmanyam, Avanidhar ; Chordia, Tarun .
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  30. Mexican treasury securities primary auctions. (2001). Castellanos, Sara.
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  31. A New Empirical Study of the Mexican Treasury Securities Primary Auctions: Is there more underpricing?. (2001). Castellanos, Sara.
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  33. What Makes Stock Exchanges Succeed? Evidence from Cross-Listing Decisions. (2000). Zechner, Josef ; Pagano, Marco ; Roell, Ailsa A. ; Randl, Otto .
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  34. The IPO Lock-Up Period: Implications for Market Efficiency And Downward Sloping Demand Curves. (2000). Ofek, Eli ; Richardson, Matthew.
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  35. Credit scoring and mortgage securitization: do they lower mortgage rates?. (2000). Passmore, Wayne ; Heuson, Andrea ; Sparks, Roger .
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  36. The role of financial reporting in reducing financial risks in the market. (2000). KOTHARI, S. P..
    In: Conference Series ; [Proceedings].
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  37. Transaction-cost Expenditures and the Relative Performance of Mutual Funds. (1999). Kadlec, Gregory B. ; Edelen, Roger M. ; John M. R. Chalmers, .
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  38. Globalization of Equity Markets and the Cost of Capital. (1999). Stulz, René.
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  39. Mutual fund trading costs. (1999). Kadlec, Gregory B. ; Edelen, Roger M. ; John M. R. Chalmers, .
    In: Rodney L. White Center for Financial Research Working Papers.
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  40. Enhancing the Liquidity of U.S. Treasury Securities in an Era of Surpluses. (1999). Garbade, Kenneth ; Kambhu, John ; Bennett, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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  41. Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets. (1999). Sarkar, Asani ; Chakravarty, Sugato.
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  42. Do Brokers Misallocate Customer Trades? Evidence From Futures Markets. (1998). Sarkar, Asani ; Wu, Lifan ; Park, Hun Y..
    In: Finance.
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  43. Information asymmetry, market segmentation, and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares. (1998). Sarkar, Asani ; Chakravarty, Sugato ; Wu, Lifan .
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  44. Equilibrium liquidity premia. (1998). Yu, Dahai.
    In: International Finance Discussion Papers.
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  45. Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange. (1997). Hu, Shing-Yang .
    In: Finance.
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  46. Evidence on the Characteristics of Cross Sectional Variation in Stock Returns. (1996). Titman, Sheridan ; Daniel, Kent.
    In: NBER Working Papers.
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  47. Solving an empirical puzzle in the capital asset pricing model. (1996). Akhavein, Jalal ; Leusner, John ; P. A. V. B. Swamy, ; P. A. V. B. Swamy, .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:96-14.

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  48. Liquidity, stock returns and ownership structure: an empirical study of the BSE. (1995). Krishnamurti, Chandrasekhar ; Eleswarapu, Venkat.
    In: Finance.
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  49. Emerging Stock Market Liberalisation, Total Returns, and Real Effects: Some Sensitivity Analyses. (). Durham, J. Benson.
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  50. A Survey of the Econometric Literature on the Real Effects of International Capital Flows in Lower Income Countries. (). Durham, J. Benson.
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