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Details about Gautam Kaul

E-mail:
Workplace:Ross School of Business, University of Michigan, (more information at EDIRC)

Access statistics for papers by Gautam Kaul.

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

Short-id: pka319


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Journal Articles

1998

  1. An Anatomy of Trading Strategies
    Review of Financial Studies, 1998, 11, (3), 489-519 View citations (245)

1997

  1. Profitability of Short-Term Contrarian Strategies: Implications for Market Efficiency
    Journal of Business & Economic Statistics, 1997, 15, (3), 379-86 View citations (47)

1996

  1. Oil and the Stock Markets
    Journal of Finance, 1996, 51, (2), 463-91 Downloads View citations (862)

1994

  1. Information, trading, and volatility
    Journal of Financial Economics, 1994, 36, (1), 127-154 Downloads View citations (56)
  2. Trading Volume and Transaction Costs in Specialist Markets
    Journal of Finance, 1994, 49, (4), 1489-1505 Downloads View citations (22)
  3. Transactions, Volume, and Volatility
    Review of Financial Studies, 1994, 7, (4), 631-51 Downloads View citations (335)

1993

  1. Long-Term Market Overreaction or Biases in Computed Returns?
    Journal of Finance, 1993, 48, (1), 39-63 Downloads View citations (142)

1991

  1. Asymmetric Predictability of Conditional Variances
    Review of Financial Studies, 1991, 4, (4), 597-622 Downloads View citations (92)
  2. Components of short-horizon individual security returns
    Journal of Financial Economics, 1991, 29, (2), 365-384 Downloads View citations (35)
  3. Estimation of the Bid-Ask Spread and Its Components: A New Approach
    Review of Financial Studies, 1991, 4, (4), 623-56 Downloads View citations (182)

1990

  1. Monetary Regimes and the Relation between Stock Returns and Inflationary Expectations
    Journal of Financial and Quantitative Analysis, 1990, 25, (3), 307-321 Downloads View citations (43)
  2. Price reversals *1: Bid-ask errors or market overreaction?
    Journal of Financial Economics, 1990, 28, (1-2), 67-93 Downloads View citations (55)
  3. Relative Price Variability, Real Shocks, and the Stock Market
    Journal of Finance, 1990, 45, (2), 479-96 Downloads View citations (63)

1989

  1. Mean Reversion in Short-Horizon Expected Returns
    Review of Financial Studies, 1989, 2, (2), 225-40 Downloads View citations (45)

1988

  1. Time-Variation in Expected Returns
    The Journal of Business, 1988, 61, (4), 409-25 Downloads View citations (149)

1987

  1. Stock returns and inflation: The role of the monetary sector
    Journal of Financial Economics, 1987, 18, (2), 253-276 Downloads View citations (166)
 
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