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Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Crashes Trading volume Skewness
2014/3/18
We develop a series of cross-sectional regression specifications to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experien...
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
Unified Theory Underreaction Momentum Trading Overreaction Asset Markets
2014/3/18
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets。