Details about Chris Kirby

Access statistics for papers by Chris Kirby.

Last updated 2021-05-23. Update your information in the RePEc Author Service.

Short-id: pki191

Journal Articles

2021

1. Short-term reversals, short-term momentum, and news-driven trading activity
   Journal of Banking & Finance, 2021, 125, (C) View citations (2)

2020

2. Firm Characteristics, Cross-Sectional Regression Estimates, and Asset Pricing Tests
   The Review of Asset Pricing Studies, 2020, 10, (2), 290-334 View citations (3)

2019

3. Estimating the Cost‐of‐Equity Capital Using Empirical Asset Pricing Models
   International Review of Finance, 2019, 19, (1), 105-154
4. The value premium and expected business conditions
   Finance Research Letters, 2019, 30, (C), 360-366 View citations (2)

2018

5. Income Shifting as an Aspect of Tax Avoidance: Evidence from U.S. Multinational Corporations
   Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2018, 21, (01), 1-53 View citations (1)

2017

6. Capital expenditures and firm performance: evidence from a cross†sectional analysis of stock returns
   Accounting and Finance, 2017, 57, (4), 1019-1042 View citations (4)

2013

7. Component-Driven Regime-Switching Volatility
   Journal of Financial Econometrics, 2013, 11, (2), 263-301 View citations (5)

2012

8. It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification
   Journal of Financial and Quantitative Analysis, 2012, 47, (2), 437-467 View citations (104)

2011

9. Long memory in volatility and trading volume
   Journal of Banking & Finance, 2011, 35, (7), 1714-1726 View citations (65)
10. Regime-switching factor models in which the number of factors defines the regime
    Economics Letters, 2011, 112, (2), 198-201 View citations (2)

2008

11. The specification of GARCH models with stochastic covariates
    Journal of Futures Markets, 2008, 28, (10), 911-934 View citations (3)

2006

12. Bootstrap tests of multiple inequality restrictions on variance ratios
    Economics Letters, 2006, 91, (3), 343-348 View citations (3)
13. Information, Trading, and Volatility: Evidence from Weather‐Sensitive Markets
    Journal of Finance, 2006, 61, (6), 2899-2930 View citations (31)
14. Linear filtering for asymmetric stochastic volatility models
    Economics Letters, 2006, 92, (2), 284-292 View citations (3)
15. Multivariate Stochastic Volatility Models with Correlated Errors
    Econometric Reviews, 2006, 25, (2-3), 245-274 View citations (32)
16. Stochastic Volatility, Trading Volume, and the Daily Flow of Information
    The Journal of Business, 2006, 79, (3), 1551-1590 View citations (41)

2003

17. A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility
    Journal of Financial Econometrics, 2003, 1, (3), 365-419 View citations (36)
18. The economic value of volatility timing using "realized" volatility
    Journal of Financial Economics, 2003, 67, (3), 473-509 View citations (301)

2001

19. The Economic Value of Volatility Timing
    Journal of Finance, 2001, 56, (1), 329-352 View citations (403)

1998

20. Information and volatility linkages in the stock, bond, and money markets
    Journal of Financial Economics, 1998, 49, (1), 111-137 View citations (245)
21. The Restrictions on Predictability Implied by Rational Asset Pricing Models
    The Review of Financial Studies, 1998, 11, (2), 343-82 View citations (41)

1997

22. Measuring the Predictable Variation in Stock and Bond Returns
    The Review of Financial Studies, 1997, 10, (3), 579-630 View citations (61)