Details about Gautam Kaul

Access statistics for papers by Gautam Kaul.

Last updated 2010-12-03. Update your information in the RePEc Author Service.

Short-id: pka319

Journal Articles

1998

1. An Anatomy of Trading Strategies
   The Review of Financial Studies, 1998, 11, (3), 489-519 View citations (267)

1997

2. Profitability of Short-Term Contrarian Strategies: Implications for Market Efficiency
   Journal of Business & Economic Statistics, 1997, 15, (3), 379-86 View citations (50)

1996

3. Oil and the Stock Markets
   Journal of Finance, 1996, 51, (2), 463-91 View citations (992)

1994

4. Information, trading, and volatility
   Journal of Financial Economics, 1994, 36, (1), 127-154 View citations (59)
5. Trading Volume and Transaction Costs in Specialist Markets
   Journal of Finance, 1994, 49, (4), 1489-1505 View citations (23)
6. Transactions, Volume, and Volatility
   The Review of Financial Studies, 1994, 7, (4), 631-51 View citations (356)

1993

7. Long-Term Market Overreaction or Biases in Computed Returns?
   Journal of Finance, 1993, 48, (1), 39-63 View citations (144)

1991

8. Asymmetric Predictability of Conditional Variances
   The Review of Financial Studies, 1991, 4, (4), 597-622 View citations (93)
9. Components of short-horizon individual security returns
   Journal of Financial Economics, 1991, 29, (2), 365-384 View citations (36)
10. Estimation of the Bid-Ask Spread and Its Components: A New Approach
    The Review of Financial Studies, 1991, 4, (4), 623-56 View citations (226)

1990

11. Monetary Regimes and the Relation between Stock Returns and Inflationary Expectations
    Journal of Financial and Quantitative Analysis, 1990, 25, (3), 307-321 View citations (46)
12. Price reversals *1: Bid-ask errors or market overreaction?
    Journal of Financial Economics, 1990, 28, (1-2), 67-93 View citations (57)
13. Relative Price Variability, Real Shocks, and the Stock Market
    Journal of Finance, 1990, 45, (2), 479-96 View citations (65)

1989

14. Mean Reversion in Short-Horizon Expected Returns
    The Review of Financial Studies, 1989, 2, (2), 225-40 View citations (47)

1988

15. Time-Variation in Expected Returns
    The Journal of Business, 1988, 61, (4), 409-25 View citations (155)

1987

16. Stock returns and inflation: The role of the monetary sector
    Journal of Financial Economics, 1987, 18, (2), 253-276 View citations (169)