While individual investors may have more diverse preferences and trading behavior than institutional investors due to their lack of professional education, many studies tend to lump individual investors together or classify them by socio-demographic characteristics. We conducted an empirical...

There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this...

In this paper, we employ a combination of the jump diffusion and GARCH model in the mean equation to test the risk-return relationship in the U.S. stock returns. The results suggest a statistically significant relationship between the risk and the return if the risk measure includes components...