FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2200550798> ?p ?o ?g. }

• W2200550798 abstract "This paper models a market microstructure bias, driven by the bid-ask spread, that is evident in the pricing of aggregate firm-level risk embodied by the stock return variance estimates of Goyal and Santa-Clara (2003). Controlling for this bias, we find no pricing ability for aggregate firm-level variance for the period 1927 to 2012 or for any sub-period tested. Market microstructure also explains the time-trend of aggregate firm-level volatility observed from 1962 to 1997 (Campbell, Lettau, Malkiel, and Xu, 2001), and subsumes any relation between retail trading and future idiosyncratic volatility from 1983 to 1999 (Brandt, Brav, Graham, and Kumar, 2010). We conclude that the aggregate firm-level bid-ask spread is priced with future market returns rather than any of the aggregate firm-level risk measures." @default.
• W2200550798 created "2016-06-24" @default.
• W2200550798 creator A5024599505 @default.
• W2200550798 creator A5054647638 @default.
• W2200550798 date "2015-01-01" @default.
• W2200550798 modified "2023-09-27" @default.
• W2200550798 title "Is Aggregate Idiosyncratic Risk Priced? Follow the Bid-Ask Bounce" @default.
• W2200550798 cites W1485872351 @default.
• W2200550798 cites W1583227791 @default.
• W2200550798 cites W1608529349 @default.
• W2200550798 cites W1794348228 @default.
• W2200550798 cites W1825609847 @default.
• W2200550798 cites W1918248777 @default.
• W2200550798 cites W1966268097 @default.
• W2200550798 cites W1970834139 @default.
• W2200550798 cites W1980077269 @default.
• W2200550798 cites W2001992115 @default.
• W2200550798 cites W2015142764 @default.
• W2200550798 cites W2016762606 @default.
• W2200550798 cites W2046519558 @default.
• W2200550798 cites W2059091353 @default.
• W2200550798 cites W2100757404 @default.
• W2200550798 cites W2102011839 @default.
• W2200550798 cites W2133186163 @default.
• W2200550798 cites W2134432757 @default.
• W2200550798 cites W2141679668 @default.
• W2200550798 cites W2143139512 @default.
• W2200550798 cites W2144570112 @default.
• W2200550798 cites W2157201362 @default.
• W2200550798 cites W3022041122 @default.
• W2200550798 cites W3023906401 @default.
• W2200550798 cites W3121275215 @default.
• W2200550798 cites W3121401171 @default.
• W2200550798 cites W3121790069 @default.
• W2200550798 cites W3121807305 @default.
• W2200550798 cites W3122448887 @default.
• W2200550798 cites W3123152230 @default.
• W2200550798 cites W3123842146 @default.
• W2200550798 cites W3124304323 @default.
• W2200550798 cites W3124585843 @default.
• W2200550798 cites W3124625646 @default.
• W2200550798 cites W3124683565 @default.
• W2200550798 cites W3124791446 @default.
• W2200550798 cites W3125717248 @default.
• W2200550798 cites W3125875287 @default.
• W2200550798 cites W3126060458 @default.
• W2200550798 cites W1974042548 @default.
• W2200550798 doi "https://doi.org/10.2139/ssrn.2481142" @default.
• W2200550798 hasPublicationYear "2015" @default.
• W2200550798 type Work @default.
• W2200550798 sameAs 2200550798 @default.
• W2200550798 citedByCount "2" @default.
• W2200550798 countsByYear W22005507982016 @default.
• W2200550798 crossrefType "journal-article" @default.
• W2200550798 hasAuthorship W2200550798A5024599505 @default.
• W2200550798 hasAuthorship W2200550798A5054647638 @default.
• W2200550798 hasConcept C10138342 @default.
• W2200550798 hasConcept C106159729 @default.
• W2200550798 hasConcept C127413603 @default.
• W2200550798 hasConcept C149782125 @default.
• W2200550798 hasConcept C159985019 @default.
• W2200550798 hasConcept C162324750 @default.
• W2200550798 hasConcept C181236170 @default.
• W2200550798 hasConcept C182306322 @default.
• W2200550798 hasConcept C192562407 @default.
• W2200550798 hasConcept C204036174 @default.
• W2200550798 hasConcept C4679612 @default.
• W2200550798 hasConcept C51926234 @default.
• W2200550798 hasConcept C556758197 @default.
• W2200550798 hasConcept C76281924 @default.
• W2200550798 hasConcept C78519656 @default.
• W2200550798 hasConcept C80212096 @default.
• W2200550798 hasConcept C90329073 @default.
• W2200550798 hasConcept C91602232 @default.
• W2200550798 hasConceptScore W2200550798C10138342 @default.
• W2200550798 hasConceptScore W2200550798C106159729 @default.
• W2200550798 hasConceptScore W2200550798C127413603 @default.
• W2200550798 hasConceptScore W2200550798C149782125 @default.
• W2200550798 hasConceptScore W2200550798C159985019 @default.
• W2200550798 hasConceptScore W2200550798C162324750 @default.
• W2200550798 hasConceptScore W2200550798C181236170 @default.
• W2200550798 hasConceptScore W2200550798C182306322 @default.
• W2200550798 hasConceptScore W2200550798C192562407 @default.
• W2200550798 hasConceptScore W2200550798C204036174 @default.
• W2200550798 hasConceptScore W2200550798C4679612 @default.
• W2200550798 hasConceptScore W2200550798C51926234 @default.
• W2200550798 hasConceptScore W2200550798C556758197 @default.
• W2200550798 hasConceptScore W2200550798C76281924 @default.
• W2200550798 hasConceptScore W2200550798C78519656 @default.
• W2200550798 hasConceptScore W2200550798C80212096 @default.
• W2200550798 hasConceptScore W2200550798C90329073 @default.
• W2200550798 hasConceptScore W2200550798C91602232 @default.
• W2200550798 hasLocation W22005507981 @default.
• W2200550798 hasOpenAccess W2200550798 @default.
• W2200550798 hasPrimaryLocation W22005507981 @default.
• W2200550798 hasRelatedWork W1649081573 @default.
• W2200550798 hasRelatedWork W1964346165 @default.
• W2200550798 hasRelatedWork W2005121212 @default.
• W2200550798 hasRelatedWork W2039325495 @default.
• W2200550798 hasRelatedWork W2113208252 @default.

• next