A Bayesian Approach to Explain Excess Volatility, Short-Term Underreaction, and Long-Term Overreaction During Normal Situations and Financial Crises
In this paper, we introduce a new Bayesian approach to explain some market anomalies. We first develop some properties on the expected earnings shock and its volatility and establish some properties of investors' behavior on the stock price and its volatility during a financial crisis and subsequent recovery. Thereafter, we develop properties to explain excess volatility, short-term underreaction, long-term overreaction, and their magnitude effects during a normal financial situation as well as during a financial crisis and subsequent recovery
Year of publication: |
2015
|
---|---|
Authors: | Guo, Xu |
Other Persons: | Wong, Wing-Keung (contributor) ; Zhu, Lixing (contributor) |
Publisher: |
[2015]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Finanzkrise | Financial crisis | Bayes-Statistik | Bayesian inference | Börsenkurs | Share price | Anlageverhalten | Behavioural finance | Ankündigungseffekt | Announcement effect | Schock | Shock |
Description of contents: | Abstract [papers.ssrn.com] |
Saved in:
Extent: | 1 Online-Ressource |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 4, 2015 erstellt Volltext nicht verfügbar |
Classification: | G11 - Portfolio Choice ; C13 - Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013027039
Saved in favorites
Similar items by subject
-
Guo, Xu, (2016)
-
Guo, Xu, (2016)
-
Guo, Xu, (2017)
- More ...
Similar items by person
-
Guo, Xu, (2016)
-
A note on almost stochastic dominance
Guo, Xu, (2013)
-
Guo, Xu, (2016)
- More ...