Speculation Spillovers

References

• Amihud Y (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5(1):31–56.Crossref, Google Scholar
• Back K (1993) Asymmetric information and options. Rev. Financial Stud. 6(3):435–472.Crossref, Google Scholar
• Baele L (2005) Volatility spillover effects in European equity markets. J. Financial Quant. Anal. 40(2):373–401.Crossref, Google Scholar
• Barber BM, Odean T (2008) All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Rev. Financial Stud. 21(2):785–818.Crossref, Google Scholar
• Black F (1989) Universal hedging: Optimizing currency risk and reward in international equity portfolios. Financial Analysts J. 45(4):16–22.Crossref, Google Scholar
• Brandt MW, Brav A, Graham JR, Kumar A (2010) The idiosyncratic volatility puzzle: Time trend or speculative episodes? Rev. Financial Stud. 23(2):863–899.Crossref, Google Scholar
• Chakravarty S, Gulen H, Mayhew S (2004) Informed trading in stock and option markets. J. Finance 59(3):1235–1257.Crossref, Google Scholar
• Cho Y, Engle RF (1999) Modeling the impacts of market activity on bid-ask spreads in the option market. NBER Working Paper w7331, National Bureau of Economic Research, Cambridge, MA. http://ssrn.com/abstract=196372.Crossref, Google Scholar
• Chordia T, Roll R, Subrahmanyam A (2001) Market liquidity and trading activity. J. Finance 56(2):501–530.Crossref, Google Scholar
• Christiansen C (2007) Volatility-spillover effects in European bond markets. Eur. Financial Management 13(5):923–948.Crossref, Google Scholar
• DellaVigna S, Pollet J (2009) Investor inattention and Friday earnings announcements. J. Finance 64(2):709–749.Crossref, Google Scholar
• Duan JC (1995) The GARCH option pricing model. Math. Finance 5(1):13–32.Crossref, Google Scholar
• Easley D, Hvidkjaer S, O'Hara M (2002) Is information risk a determinant of asset returns? J. Finance 57(5):2185–2221.Crossref, Google Scholar
• Figlewski S (1989) Options arbitrage in imperfect markets. J. Finance 44(5):1289–1311.Crossref, Google Scholar
• Galbraith JK (1997) The Great Crash, 1929 (Houghton Mifflin, Boston).Google Scholar
• Goyenko RY, Holden CW, Trzcinka CA (2009) Do liquidity measures measure liquidity? J. Financial Econom. 92(2):153–181.Crossref, Google Scholar
• Harris M, Raviv A (1993) Differences of opinion make a horse race. Rev. Financial Stud. 6(3):473–506.Crossref, Google Scholar
• Harris RDF, Shen J (2003) Robust estimation of the optimal hedge ratio. J. Futures Markets 23(8):799–816.Crossref, Google Scholar
• Harrison JM, Kreps DM (1978) Speculative investor behavior in a stock market with heterogeneous expectations. Quart. J. Econom. 92(2):323–336.Crossref, Google Scholar
• Hirshleifer D, Teoh SH (2003) Limited attention, information disclosure, and financial reporting. J. Accounting Econom. 36(1–3):337–386.Crossref, Google Scholar
• Hirshleifer D, Teoh SH (2008) Thought and behavior contagion in capital markets. MPRA Paper 9142, Munich Personal RePEc Archive, Munich University, Munich, Germany.Google Scholar
• Hirshleifer D, Lim SS, Teoh SH (2009) Driven to distraction: Extraneous events and underreaction to earnings news. J. Finance 64(5):2289–2325.Google Scholar
• Hong H, Stein JC (2007) Disagreement and the stock market. J. Econom. Perspect. 21(2):109–128.Crossref, Google Scholar
• Hong H, Yu JL (2009) Gone fishin': Seasonality in trading activity and asset prices. J. Financial Markets 12(4):672–702.Crossref, Google Scholar
• Hong H, Scheinkman J, Xiong W (2006) Asset float and speculative bubbles. J. Finance 61(3):1073–1117.Crossref, Google Scholar
• Hou K, Peng L, Xiong W (2009) A tale of two anomalies: The implications of investor attention for price and earnings momentum. Working paper, Princeton University, Princeton, NJ.Google Scholar
• Huberman G, Regev T (2001) Contagious speculation and a cure for cancer: A nonevent that made stock prices soar. J. Finance 56(1):387–396.Crossref, Google Scholar
• Huddart S, Lang M, Yetman MH (2009) Volume and price patterns around a stock's 52-week highs and lows: Theory and evidence. Management Sci. 55(1):16–31.Link, Google Scholar
• Hwang C-Y, Zhang SJ, Zhu YJ (2006) Float, liquidity, speculation, and stock prices: Evidence from the share structure reform in China. Working paper, Nanyang Technological University, Singapore.Google Scholar
• Kandel E, Pearson ND (1995) Differential interpretation of public signals and trade in speculative markets. J. Political Econom. 103(4):831–872.Crossref, Google Scholar
• Lesmond DA, Ogden JP, Trzcinka CA (1999) A new estimate of transaction costs. Rev. Financial Regulation 12(5):1113–1141.Crossref, Google Scholar
• Mayhew S (2000) The impact of derivatives on cash markets: What have we learned. Working paper, University of Georgia, Athens.Google Scholar
• Mei JP, Scheinkman JA, Xiong W (2009) Speculative trading and stock prices: Evidence from Chinese A-B share premia. Ann. Econom. Finance 10(2):225–255.Google Scholar
• Menkulasi J (2009) Rational inattention and changes in macroeconomic volatility. Working paper, University of Maryland, College Park.Google Scholar
• Odean T (1998) Are investors reluctant to realize their losses? J. Finance 53(5):1775–1798.Crossref, Google Scholar
• Peng L, Xiong W (2006) Investor attention, overconfidence and category learning. J. Financial Econom. 80(3):563–602.Crossref, Google Scholar
• Scheinkman JA, Xiong W (2003) Overconfidence and speculative bubbles. J. Political Econom. 111(6):1183–1219.Crossref, Google Scholar
• Seasholes MS, Wu G (2007) Predictable behavior, profits and attention. J. Empirical Finance 14(5):590–610.Crossref, Google Scholar
• Sims CA (2003) Implications of rational inattention. J. Monetary Econom. 50(3):665–690.Crossref, Google Scholar
• Xiong W, Yu JL (2011) The Chinese warrants bubble. Amer. Econom. Rev. 101(6):2723–2753.Crossref, Google Scholar
• Yuan Y (2012) Market-wide attention, trading, and stock returns. Working paper, University of Pennsylvania, Philadelphia. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1105532.Crossref, Google Scholar