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An empirical analysis of herding behaviour : evidence from developed and frontier financial markets
Hakmaoui, Abdelati; El Jebari, Ouael - In: International journal of computational economics and … 13 (2023) 4, pp. 374-403
Persistent link: https://www.econbiz.de/10014439720
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Populism and financial markets
Hartwell, Christopher A. - In: Finance research letters 46 (2022) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10013341867
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …
Persistent link: https://www.econbiz.de/10011412294
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The granular nature of large institutional investors
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih; … - 2016
institutions predicts higher volatility and greater noise in stock prices, as well as greater fragility at times of crisis. When …
Persistent link: https://www.econbiz.de/10011514119
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Asset pricing with arbitrage activity
Hugonnier, Julien; Prieto, Rodolfo - 2013
agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …
Persistent link: https://www.econbiz.de/10010257492
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Chapter 12. Advances in Consumption-Based Asset Pricing: Empirical Tests
Ludvigson, Sydney C. - 2013
The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset pricing, as well as some debate. This chapter surveys the...
Persistent link: https://www.econbiz.de/10014025366
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Do financial market experts know their theory? : new evidence from survey data
Brückbauer, Frank - 2020
Using a unique survey dataset, the author studies how financial market experts form their stock market expectations. He documents a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the...
Persistent link: https://www.econbiz.de/10012420532
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Impact of crises on capital market volatility : a bibliometric analysis
Davidescu, Adriana Ana Maria; Hapau, Răzvan Gabriel; … - In: The New digital era : other emerging risks and opportunities, (pp. 21-53). 2022
Persistent link: https://www.econbiz.de/10013445208
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How is β related to asset returns?
Bollen, Bernard; Gharghori, Philip - In: Applied economics 48 (2016) 19/21, pp. 1925-1935
Persistent link: https://www.econbiz.de/10011590029
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Determinants of financial stress and recovery during the Great Recession
Aizenman, Joshua; Pasricha, Gurnain Kaur - 2010
Persistent link: https://www.econbiz.de/10008779817