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On the Determinants of Pairs Trading Profitability
Jacobs, Heiko - 2016
We perform a large-scale empirical analysis of pairs trading, a popular relative-value arbitrage approach. We start with a cross-country study of 34 international stock markets and uncover that abnormal returns are a persistent phenomenon. We then construct a comprehensive U.S. data set to...
Persistent link: https://www.econbiz.de/10013005471
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On the determinants of pairs trading profitability
Jacobs, Heiko; Weber, Martin - In: Journal of financial markets 23 (2015), pp. 75-97
Persistent link: https://www.econbiz.de/10011377498
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Framing effects in stock market forecasts : the difference between asking for prices and asking for returns
Glaser, Markus; Langer, Thomas; Reynders, Jens; Weber, … - In: Review of finance : journal of the European Finance … 11 (2007) 2, pp. 325-357
Persistent link: https://www.econbiz.de/10003714233
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Framing Effects in Stock Market Forecasts : The Difference between Asking for Prices and Asking for Returns
Glaser, Markus; Weber, Martin; Langer, Thomas; … - 2007
significant framing effect. For upward sloping time series, the return forecasts stated by investors in the return forecast mode … are significantly higher than those derived for investors in the price forecast mode. For downward sloping time series …, the return forecasts given by investors in the return forecast mode are significantly lower than those derived for …
Persistent link: https://www.econbiz.de/10014049855
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Scale dependence of overconfidence in stock market volatility forecasts
Glaser, Markus; Langer, Thomas; Reynders, Jens; Weber, … - 2008
Persistent link: https://www.econbiz.de/10013442662
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Framing effects in stock market forecasts : the difference between asking for prices and asking for returns
Glaser, Markus; Langer, Thomas; Reynders, Jens; Weber, … - 2005
Persistent link: https://www.econbiz.de/10013443291
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Overreaction in Stock Forecasts and Prices
Nosic, Alen - 2009
We study the degree of individual and aggregate market overreaction in a dynamic experimental auction market. In 13 sessions with overall 101 students we find overreaction to new information both in stock price forecasts and transaction prices. Interestingly, market forces do not seem to help in...
Persistent link: https://www.econbiz.de/10013157644
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Delegated investing and the role of investment outcomes, quality, and trust
Germann, Maximilian - 2018
Persistent link: https://www.econbiz.de/10012123133
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Focusing on volatility information instead of portfolio weights as an aid to investor decisions
Ehm, Christian; Laudenbach, Christine; Weber, Martin - In: Experimental economics : a journal of the Economic … 21 (2018) 2, pp. 457-480
Persistent link: https://www.econbiz.de/10011941945
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How should individual investors diversify? : an empirical evaluation of alternative asset allocation policies
Jacobs, Heiko; Müller, Sebastian; Weber, Martin - In: Journal of financial markets 19 (2014), pp. 62-85
Persistent link: https://www.econbiz.de/10010442420