Cargando…
Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines
This paper tests the relationship among heterogeneous beliefs, short sale restrictions and time-varying conditional skewness under different market conditions. The results show that heterogeneous beliefs and short sale restrictions have negative impacts on conditional skewness during periods of mark...
| Autor principal: | |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Inc.
2020
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7148999/ http://dx.doi.org/10.1016/j.najef.2019.101070 |