State-dependent volatility feedback effect in the ICAPM
Year of publication: |
2024
|
---|---|
Authors: | Kilic, Osman ; Nam, Kiseok ; O'Connor, Matthew L. |
Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 59.2024, Art.-No. 104700, p. 1-10
|
Subject: | Endogeneity issue | Investor sentiment | State-dependent ICAPM | Volatility feedback effect | Theorie | Theory | Volatilität | Volatility | Anlageverhalten | Behavioural finance | CAPM |
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