In this paper, we introduce a new pseudo-Bayesian model to incorporate the impact of a financial Crisis and establish some properties of stock returns and investors' behaviors during the financial crisis and during recovery after crisis. Our proposed model can be applied to investigate some...

In this paper, we introduce a new pseudo-Bayesian model to incorporate the impact of a financial crisis and establish some properties of stock returns and investors' behavior during a financial crisis and subsequent recovery. Our approach provides a quantitative description for investors'...