A note on Stein's overreaction puzzle
Year of publication: |
2020
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Authors: | Lin, Yuehao ; Lehnert, Thorsten |
Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 43.2020, 1, p. 269-276
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Subject: | Pricing kernel | Stochastic volatility | Overreaction | Variance risk | Volatilität | Volatility | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Optionspreistheorie | Option pricing theory | Anlageverhalten | Behavioural finance |
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