Boujelbène-Abbes, Mouna; Salah, Ines Ben; Ellouze, … - In: International Journal of Economics and Business Research 6 (2013) 3, pp. 243-260
In this study we investigate the return-implied volatility relationship in the French market by considering the behavioural biases of representativeness, extrapolation and affect. We find a strong evidence of negative and asymmetric return-implied volatility relationship at daily frequency,...