نقش انتشار اطلاعات بر رابطۀ چولگی و بازده آتی سهام

Adrian, T. & Rosenberg, J. (2008). Stock returns and volatility: Pricing the short-run and long-run components of market risk, Journal of Finance, 63(6): 2997- 3030.

Amaya, D., Christoffersen, P., Jacobs, K. & Vasquez, A. (2015). Does realized skewness predict the cross-section of equity returns? Journal of Financial Economics, 118(1): 135-167.

Ariely, D. (2009). The End of Rational Economic, Harvard Business Review, 195: 45- 52.

Banaizadeh, A. & Kordlouie, H. R. (2013). Investigation the return of value and growth stock based on book to market value ratio in Tehran Stock Exchange, Quarterly Journal of Knowledge Investment, 2(7): 105- 129. (in Persian)

Barberis, N. & Huang, M. (2008). Stocks as lotteries: The implications of probability weighting for security prices, American Economic Review, 98(5): 2066- 2100.

Barberis, N. (2013). Thirty years of prospect theory in economics: A review and assessment. Journal of Economic Perspectives, 27(1): 173– 196.

Brav, A. & Heaton, J. B. (2002). Competing theories of financial anomalies, Review of Financial Studies, 15(2): 575- 606.

Campbell, R. H. & Siddique, A. (2000). Conditional skewness in asset pricing tests, Journal of Finance, 55(3): 1263- 1295.

Chang, B. Y., Christoffersen, P. & Jacobs, K. (2013). Market skewness risk and the cross section of stock returns, Journal of Financial Economics, 107(1): 46– 68.

Chiao, C., Hung, K. & Srirastava, S. (2003). Taiwan stock market and four-moment asset pricing model. Journal of International Financial Markets, Institutions & Money, 13(4): 355- 381.

Choi, Y. & Lee, S. S. (2014). Realized skewness and future stock returns: The role of information, From https:// economics. Indiana .edu/home/about-us/events/conferences-and-workshops / 2014 spring /files/2014-04-29-01.pdf.

Christi-David, R. & Chaudhry, M. (2001). Coskwness and cokurtosis in futures markets. Journal of Empirical Finance, 8(1): 55- 81.

Conrad, J., Robert, F. D. & Eric, G. (2013). Ex ante skewness and expected stock returns. Journal of Finance, 68(1): 85- 124.

Daniel, K., Hirshleifer, D. & Subrahmanyam, A. (1998). Investor psychology and security market under- and overreactions. Journal of Finance, 53(6): 1839- 1885.

De bondt, W., Richard, F. M. & Thaler, H. (1985). Does the stock market over react. Journal of Finance, 40(3): 793- 805.

Huston, E., Kearney, C. & Lynch, M. (2008). Volume and skewness in international equity markets. Journal of Banking and Finance, 32(7): 1255- 1268.

Jegadeesh, N. & Titman S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48(1): 65– 91.

Kahneman, D. & Tversky A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2): 263- 291.

Kahneman, D. & Tversky A. (1992). Advances in prospect theory, cumulative representation of uncertainty. Journal of Risk and Uncertantity, 5(4): 297- 323.

Khajavi, S. & Ghasemi, M. (2006). Efficient market hypothesis and Behavioral finance. Journal of Financial Research, 7(20): 49- 69. (in Persian)

Knoll, M. (2010). The role of behavioral economics and behavioral decision making in Americans retirement savings decisions. Social Security Bulletin, 70(4): 1- 23.

Lee, S. S. (2012). Jumps and information flow in financial markets. Review of Financial Studies, 25(2): 439- 479.

Levin, A., Lin, C. F. & Chu, J. (2002). Unit root tests in panel data: Asymptotic and finite sample properties. Journal of Econometrics, 108(1): 1- 24.

Moslehshirazi, A. N., Namazi, M., Mohammadi, A. & Rajabi, A. (2012). Prospect theory and modeling of management decision making in industry. Journal of Industrial Management Perspective, 3(10): 9- 33. (in Persian)

Raei, R., Baharvand, S. & Movafaghi, M. (2011). Asset pricing using more determinants (Evidences of Tehran stock market using panel data). Quarterly Journal of Quantitative Economics, 7(4): 101- 115. (in Persian)

Savor, P. (2012). Stock returns after major price shocks: The impact of information. Journal of Financial Economics, 106(3): 635- 659.

Shams, S., Yahyazadehfar, M. & Emami, A. (2011). The Survey of the relationship between disposition effect and cash flows and investment companies performance in Tehran stock exchange. Journal of Financial Research, 12(30): 95- 116. (in Persian)

Shapiro, D. & Zhang, C. X. (2011). Pricing of skewness in emerging markets. Advances in Behavioral Finance­& Economics: The Journal of the Academy of Behavioral Finance, 1(2): 44- 61.

Simon, H. (1959). Theories of decision-making in economics and behavioral science. American Economic Review, 49(3): 253- 283.

Tafazoli, F. (1995). The history of economic thought (From Plato to present). Tehran: Ney publisher. (in Persian)

Tehrani, R., Bagorian, M. & Nabizadeh, A. (2008). examination of the effect of skewness and excess kurtosis on stock returns description through capital asset pricing model. Quarterly Journal of Securities Exchange, 1(4): 35- 52. (in Persian)

Tetlock, P. C. (2010). Does public. Financial news resolve asymmetric information. Review of Financial Studies, 23(9): 3520- 3557.

Thaler, R. (1999). The end of behavorial finance. Financial Analysts Journal, 55(6): 12- 17.

Zhang, X. J. (2013). Book-to-market ratio and skewness of stock returns. Accounting Review, 88(6): 2213- 2240.‌

Zhang, Y. (2005). Individual Skewness and the Cross-Section of Average Stock Returns. Working paper, Yale University.