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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

Further evidence on idiosyncratic risk and REIT pricing : a cross-country analysis

Mi, Lin; Benson, Karen; Faff, Robert W. - In: Accounting research journal 29 (2016) 1, pp. 34-58

Persistent link: https://www.econbiz.de/10011578767

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

Measuring and forecasting yield volatility

Fabozzi, Frank J.; Lee, Wai - In: Interest rate, term structure, and valuation modeling, (pp. 187-212). 2002

Persistent link: https://www.econbiz.de/10001734175

Does idiosyncratic risk really matter?

Bali, Turan G.; Cakici, Nusret; Yan, Xuemin Sterling; … - In: The journal of finance : the journal of the American … 60 (2005) 2, pp. 905-930

Persistent link: https://www.econbiz.de/10002730681

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

Modeling the risk and return relation conditional on markt volatility and market conditions

Galagedera, Don U. A.; Faff, Robert W. - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 75-95

Persistent link: https://www.econbiz.de/10002625219

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

Financial inflexibility and the value premium

Poulsen, Michael; Faff, Robert W.; Gray, Stephen - In: International review of finance 13 (2013) 3, pp. 327-344

Persistent link: https://www.econbiz.de/10010191930

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