Size and value effects in high-tech industries: The role of R&D investment
We use monthly US stock data over 55 years from 1962 to 2017 to show that the R&D
intensity at firms adds another important dimension to the size and value effects in …
intensity at firms adds another important dimension to the size and value effects in …
Cross-sectional return dispersion and volatility prediction
We use intraday and daily data to examine the impact of cross-sectional return dispersion on
volatility forecasting in the Chinese equity market. We adopt the GARCH, GJR-GARCH, and …
volatility forecasting in the Chinese equity market. We adopt the GARCH, GJR-GARCH, and …
Option‐implied information and stock herding
N Voukelatos, T Verousis - International Journal of Finance & …, 2019 - Wiley Online Library
In this paper, we examine if herding behaviour in the equity market can be explained by
option‐implied information. Our empirical results confirm the commonly reported absence of …
option‐implied information. Our empirical results confirm the commonly reported absence of …
What do we know about individual equity options?
A Bernales, T Verousis, N Voukelatos… - Journal of Futures …, 2020 - Wiley Online Library
This paper examines the empirical literature on individual equity options, discussing results
in areas of consensus, showing findings in areas of disagreement and providing a guide for …
in areas of consensus, showing findings in areas of disagreement and providing a guide for …
Constructing Daily Equity Momentum Portfolios Using Corporate Bond Data
AB Dor, J Guan, C Rosa - The Journal of Portfolio Management, 2020 - pm-research.com
Do corporate bond return dynamics contain information that is not already fully reflected in
equity prices despite the lower liquidity of credit markets? Using a comprehensive dataset of …
equity prices despite the lower liquidity of credit markets? Using a comprehensive dataset of …