Christopher G Lamoureux

  • 1614 Citations
  • 10 h-Index
1986 …2015
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Research Output 1986 2015

  • 1614 Citations
  • 10 h-Index
  • 21 Article
2015
1 Citation (Scopus)

Costs of capital and public issuance choice

Lamoureux, C. G. & Nejadmalayeri, A., Dec 1 2015, In : Journal of Banking and Finance. 61, p. 27-45 19 p., 4811.

Research output: Contribution to journalArticle

Cost of capital
Yield curve
Fixed effects
Price elasticity of demand
Market price

Measuring private information in a specialist market

Lamoureux, C. G. & Wang, Q., Jan 1 2015, In : Journal of Empirical Finance. 30, p. 92-119 28 p.

Research output: Contribution to journalArticle

Private information
Benchmark
Asymmetric information
Order flow
Price formation
2004
2 Citations (Scopus)

Microstructure with multiple assets: An experimental investigation into direct and indirect dealer competition

Lamoureux, C. G. & Schnitzlein, C. R., Feb 2004, In : Journal of Financial Markets. 7, 2, p. 117-143 27 p.

Research output: Contribution to journalArticle

Assets
Microstructure
Dealers
Economics
Price discovery
2002
17 Citations (Scopus)

Empirical analysis of the yield curve: The information in the data viewed through the window of Cox, Ingersoll, and Ross

Lamoureux, C. G. & Douglas Witte, H., Jun 2002, In : Journal of Finance. 57, 3, p. 1479-1520 42 p.

Research output: Contribution to journalArticle

Empirical analysis
Yield curve
Cross-sectional data
Factors
Bayesian estimation
1997
29 Citations (Scopus)

When it's not the only game in town: The effect of bilateral search on the quality of a dealer market

Lamoureux, C. G. & Schnitzlein, C. R., Jun 1997, In : Journal of Finance. 52, 2, p. 683-712 30 p.

Research output: Contribution to journalArticle

Bilateral
Dealer markets
Dealers
Profit
Traders
1996
29 Citations (Scopus)

Temporary components of stock returns: What do the data tell us?

Lamoureux, C. G. & Zhou, G., Dec 1996, In : Review of Financial Studies. 9, 4, p. 1033-1059 27 p.

Research output: Contribution to journalArticle

Stock returns
Random walk
Stock prices
Decomposition
Criticism
1994
100 Citations (Scopus)

Endogenous trading volume and momentum in stock-return volatility

Lamoureux, C. G. & Lastrapes, W. D., 1994, In : Journal of Business and Economic Statistics. 12, 2, p. 253-260 8 p.

Research output: Contribution to journalArticle

Stock Returns
Volatility
Momentum
Serial Dependence
Latent Process
1990
5 Citations (Scopus)

Dividends, taxes, and normative portfolio theory

Lamoureux, C. G., 1990, In : Journal of Economics and Business. 42, 2, p. 121-131 11 p.

Research output: Contribution to journalArticle

Dividend taxes
Dividends
Portfolio theory
Optimal portfolio
Investors
577 Citations (Scopus)

Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

Lamoureux, C. G. & LASTRAPES, WILLIAM. D., 1990, In : The Journal of Finance. 45, 1, p. 221-229 9 p.

Research output: Contribution to journalArticle

Generalized autoregressive conditional heteroscedasticity
Stock returns
Heteroskedasticity
Autoregressive conditional heteroskedasticity
Information flow
2 Citations (Scopus)

Insignificant Betas and the Efficacy of the Sharpe Diagonal Model for Portfolio Selection

Frankfurter, G. M. & Lamoureux, C. G., 1990, In : Decision Sciences. 21, 4, p. 853-861 9 p.

Research output: Contribution to journalArticle

Efficacy
Portfolio selection
Heuristics
Market model
Ceteris paribus
538 Citations (Scopus)

Persistence in variance, structural change, and the GARCH model

Lamoureux, C. G. & Lastrapes, W. D., 1990, In : Journal of Business and Economic Statistics. 8, 2, p. 225-234 10 p.

Research output: Contribution to journalArticle

Conditional Heteroskedasticity
Structural Change
structural change
Persistence
persistence
1989
4 Citations (Scopus)

ESTIMATION AND SELECTION BIAS IN MEAN‐VARIANCE PORTFOLIO SELECTION

Frankfurter, G. M. & Lamoureux, C. G., 1989, In : Journal of Financial Research. 12, 2, p. 173-181 9 p.

Research output: Contribution to journalArticle

Portfolio selection
Selection bias
Measure of risk
Risk and return
Portfolio composition
53 Citations (Scopus)

Estimation of stable-law parameters: A comparative study

Akgiray, V. & Lamoureux, C. G., 1989, In : Journal of Business and Economic Statistics. 7, 1, p. 85-93 9 p.

Research output: Contribution to journalArticle

Stable Laws
estimation procedure
Comparative Study
regression
Law
49 Citations (Scopus)

Firm Size and Turn‐of‐the‐Year Effects in the OTC/NASDAQ Market

Lamoureux, C. G. & SANGER, GARY. C., 1989, In : The Journal of Finance. 44, 5, p. 1219-1245 27 p.

Research output: Contribution to journalArticle

Firm size
Finance
Seasonality
Profit
Small firms
8 Citations (Scopus)

The Pricing of When‐Issued Securities

Lamoureux, C. G. & Wansley, J. W., 1989, In : Financial Review. 24, 2, p. 183-198 16 p.

Research output: Contribution to journalArticle

Pricing
Premium
Law of one price
Trading mechanism
Price setting
Stock returns
Optimal portfolio
1988
2 Citations (Scopus)

Stock Selection and Timing—A New Look At Market Efficiency

Frankfurter, G. M. & Lamoureux, C. G., 1988, In : Journal of Business Finance & Accounting. 15, 3, p. 385-400 16 p.

Research output: Contribution to journalArticle

Market efficiency
Stock selection
1987
22 Citations (Scopus)

MARKET EFFECTS OF CHANGES IN THE STANDARD & POOR'S 500 INDEX

Lamoureux, C. G. & Wansley, J. W., 1987, In : Financial Review. 22, 1, p. 53-69 17 p.

Research output: Contribution to journalArticle

Announcement effect
Information effects
Stock returns
Market response
S&P 500 Index
165 Citations (Scopus)

The Market Reaction to Stock Splits

Lamoureux, C. G. & POON, PERCY., 1987, In : The Journal of Finance. 42, 5, p. 1347-1370 24 p.

Research output: Contribution to journalArticle

Market reaction
Security returns
Liquidity
Stock splits
Announcement
8 Citations (Scopus)
Stock returns
Optimal portfolio
Robustness
Incumbents
Pareto
1986

THE MARKOWITZ PORTFOLIO MODEL: SOME TEST OF VALIDITY

Frankfurter, G. M. & Lamoureux, C. G., 1986, In : Financial Review. 21, 3, p. 28 1 p.

Research output: Contribution to journalArticle

Portfolio model