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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...

Persistent link: https://www.econbiz.de/10012842392

A model-independent measure of aggregate idiosyncratic risk

Bali, Turan G.; Cakici, Nusret; Levy, Haim - In: Journal of empirical finance 15 (2008) 5, pp. 878-896

Persistent link: https://www.econbiz.de/10003776398

Idiosyncratic volatility and the cross section of expected returns

Bali, Turan G.; Cakici, Nusret - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 1, pp. 29-58

Persistent link: https://www.econbiz.de/10003692380

Fractals or I.I.D. : evidence of long-range dependence and heavy tailedness from modeling German equity market returns

Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of economics & business 59 (2007) 6, pp. 575-595

Persistent link: https://www.econbiz.de/10003615737

Evidence of feedback trading with Markov switching regimes

Dean, Warren G.; Faff, Robert W. - In: Review of quantitative finance and accounting 30 (2008) 2, pp. 133-151

Persistent link: https://www.econbiz.de/10003620890

Size, value, and momentum in emerging market stock returns

Cakici, Nusret; Fabozzi, Frank J.; Tan, Sinan - In: Emerging markets review 16 (2013), pp. 46-65

Persistent link: https://www.econbiz.de/10010243168

The role of jump dynamics in the risk-return relationship

Arshanapalli, Bala Gangadhar; Fabozzi, Frank J.; … - In: International review of financial analysis 29 (2013), pp. 212-218

Persistent link: https://www.econbiz.de/10010244955

Do sovereign re-ratings destabilize equity markets during financial crises? : new evidence from higher return moments

Brooks, Robert; Faff, Robert W.; Sirimon Treepongkaruna; … - In: Journal of business finance & accounting : JBFA 42 (2015) 5/6, pp. 777-799

Persistent link: https://www.econbiz.de/10011442342

Modelling return and conditional volatility exposures in global stock markets

Cai, Charlie X.; Faff, Robert W.; Hillier, David; … - In: Review of quantitative finance and accounting 27 (2006) 2, pp. 125-142

Persistent link: https://www.econbiz.de/10003349568

Modelling the risk and return relation conditional on market volatility and market conditions

Galagedera, Don U. A.; Faff, Robert W. - 2004

Persistent link: https://www.econbiz.de/10002121816