Is Information Risk Really a Determinant of Security Returns? Evidence from TORQ

被引:0
|
作者
Dey, Malay K. [1 ]
机构
[1] FINQ, Fairfield, CT 06824 USA
来源
JOURNAL OF TRADING | 2010年 / 5卷 / 03期
关键词
D O I
10.3905/jot.2010.5.3.051
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:51 / 58
页数:8
相关论文
共 50 条
  • [21] RISK PERCEPTION AND EQUITY RETURNS: EVIDENCE FROM THE SPX AND VIX
    Gang, Jianhua
    Li, Xiang
    BULLETIN OF ECONOMIC RESEARCH, 2014, 66 (01) : 20 - 44
  • [22] The Information Content of OVX for Crude Oil Returns Analysis and Risk Measurement: Evidence from the Kalman Filter Model
    Chen Y.
    He K.
    Yu L.
    Annals of Data Science, 2015, 2 (4) : 471 - 487
  • [23] Liquidity, Liquidity Risk and Stock Returns: Evidence from Japan
    Li, Bo
    Sun, Qian
    Wang, Changyun
    EUROPEAN FINANCIAL MANAGEMENT, 2014, 20 (01) : 126 - 151
  • [24] STOCHASTIC MODELING OF SECURITY RETURNS - EVIDENCE FROM THE HELSINKI STOCK-EXCHANGE
    BOOTH, GG
    HATEM, J
    VIRTANEN, I
    YLIOLLI, P
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 1992, 56 (01) : 98 - 106
  • [25] Geopolitical risk exposure and stock returns: Evidence from China
    Zhang, Yaojie
    Zhang, Yuxuan
    Ren, Xinrui
    Jin, Meichen
    FINANCE RESEARCH LETTERS, 2024, 64
  • [26] Value-at-risk and stock returns: evidence from India
    Aziz, Tariq
    Ansari, Valeed Ahmad
    INTERNATIONAL JOURNAL OF EMERGING MARKETS, 2017, 12 (02) : 384 - 399
  • [27] Stock returns and risk: Evidence from quantile regression analysis
    Chiang, Thomas C.
    Li, Jiandong
    JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2012, 5 (01): : 20 - 58
  • [28] The information content of unexpected stock returns: Evidence from intellectual capital
    Lin, Yi-Mien
    Lee, Chih-Chen
    Chao, Chin-Fang
    Liu, Chih-Liang
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2015, 37 : 208 - 225
  • [29] Default Risk, Liquidity Risk, and Equity Returns: Evidence from the Taiwan Market
    Chen, Che-Min
    Lee, Han-Hsing
    EMERGING MARKETS FINANCE AND TRADE, 2013, 49 (01) : 101 - 129
  • [30] Who profits from trading around earnings announcements? Evidence from TORQ data
    Dey, Malay K.
    , B. Radhakrishna
    JOURNAL OF ASSET MANAGEMENT, 2008, 9 (04) : 300 - 308