References
- Bali, T., N. Cakici, and R. Whitelaw. 2011. “Maxing Out: Stocks as Lotteries and the Cross-Section of Stock Returns.” Journal of Financial Economics 78: 243–276.
- Barberis, N., and M. Huang. 2008. “Stocks as Lotteries: The Implications of Probability Weighting for Security Prices.” American Economic Review 98: 2066–2100.
- Battalio, R., and P. Schultz. 2006. “Options and the Bubble.” Journal of Finance 61: 2071–2102.
- Battalio, R., and P Schultz. 2011. “Regulatory Uncertainty And Market Liquidity: The 2008 Short Sale Ban's Impact On Equity Option markets.” The Journal Of Finance 66: 2013–2053.
- Blau, B. M. 2012. “Short Interest and Frictions in the Flow of Information.” Financial Management 41: 371–394.
- Boehmer, E., and J. Wu. 2013. “Short Selling and the Price Discovery Process.” Review of Financial Studies 26: 287–322.
- Boyer, B., T. Mitton, and K. Vorkink. 2010. “Expected Idiosyncratic Skewness.” Review of Financial Studies 23: 169–202.
- Bris, A., W. N. Goetzmann, and N. Zhu. 2007. “Efficiency and the Bear: Short Sales and Markets around the World.” Journal of Finance 62: 1029–1079.
- Chang, E. C., J. W. Cheng, and Y. Yu. 2007. “Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market.” Journal of Finance 62: 2097–2121.
- Chen, G.-M., M. Firth, and O. M. Rui. 2001. “The Dynamic Relation between Stock Returns, Trading Volume, and Volatility.” Financial Review 36: 153–174.
- Chen, J., H. Hong, and J. Stein. 2001. “Forecasting Crashes: Trading Volume, past Returns, and Conditional Skewness in Stock Prices.” Journal of Financial Economics 61: 345–381.
- Chordia, T., and B. Swaminathan. 2000. “Trading Volume and Cross-Autocorrelations in Stock Returns.” Journal of Finance 55: 913–935.
- Diamond, D., and R. E. Verrecchia. 1987. “Constraints on Short Selling and Asset Price Adjustment to Private Information.” Journal of Financial Economics 18: 277–312.
- Green, T. C., and B.-H. Hwang. 2012. “Initial Public Offerings as Lotteries: Skewness Preference and First-Day Returns.” Management Science 58: 432–444.
- Harvey, C., and A. Siddique. 1999. “Autoregressive Conditional Skewness.” The Journal Of Financial And Quantitative Analysis 34 (4): 465-487.
- Harvey, C. R., and A. Siddique. 2000. “Conditional Skewness In Asset Pricing Tests.” The Journal Of Finance 55: 1263–1295.
- Hong, H., and J. Stein. 2003. “Differences of Opinion, Short-Sales Constraints and Market Crashes.” Review of Financial Studies 16: 487–525.
- Hou, K., and T. J. Moskowitz. 2005. “Market Frictions, Price Delay, and the Cross-Section of Expected Returns.” Review of Financial Studies 18: 981–1020.
- Karpoff, J. M. 1987. “The Relation between Price Changes and Trading Volume: A Survey.” Journal of Financial and Quantitative Analysis 22: 109–126.
- Kumar, A. 2009. “Who Gambles in the Stock Market?” Journal of Finance 64: 1889–1933.
- Kumar, A., J. K. Page, and O. G. Spalt. 2011. “Religious Beliefs, Gambling Attitudes, and Financial Market Outcomes.” Journal of Financial Economics 102: 671–708.
- Miller, E. 1977. “Risk, Uncertainty, and the Divergence of Opinion.” Journal of Finance 32: 1151–1168.
- Mitton, T., and K. Vorkink. 2007. “Equilibrium Underdiversification and the Preference for Skewness.” Review of Financial Studies 20: 1,255–1,288.
- Ofek, E., and M. Richardson. 2003. “Dotcom Mania: The Rise And Fall Of Internet Stock Prices.” The Journal Of Finance 58: 1113–1137.
- Saffi, P. A., and K. Sigurdsson. 2011. “Price Efficiency and Short-Selling.” Review of Financial Studies 24: 821–852.
- Thompson, S. B. 2006. “Simple Formulas for Standard Errors that Cluster by Both Firm and Time.” Working Paper, Harvard University.
- Xu, J. 2007. “Price Convexity and Skewness.” Journal of Finance 62: 2521–2552.
- Zhang, Y., 2005. “Individual Skewness and the Cross-Section of Average Stock Returns.” Working Paper, Yale University.