Lawrence R. Glosten - Researcher Profile

Publications

3 shown

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten , Ravi Jagannathan , David E. Runkle

ABSTRACT We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH‐M model modified by allowi...

1993 The Journal of Finance 8508 citations

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Lawrence R. Glosten , Paul Milgrom

1985 Journal of Financial Economics 6194 citations

Economic Significance of Predictable Variations in Stock Index Returns

William J. Breen , Lawrence R. Glosten , Ravi Jagannathan

ABSTRACT Knowledge of the one‐month interest rate is useful in forecasting the sign as well as the variance of the excess return on stocks. The services of a portfolio manager w...

1989 The Journal of Finance 594 citations

Frequent Co-Authors

William J. Breen

Researcher Info

h-index: 3
Publications: 3
Citations: 15,296
Institution: Northwestern University

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Impact Metrics

h-index 3

h-index: Number of publications with at least h citations each.