We examine how perceptions of a product are affected by the presence of extreme exemplars and find that ambiguity of the product is an important moderator. When the target is a novel one, perceptions assimilate to the context, whereas when it is highly familiar, perceptions are immune to the...

Prior research indicates that various methods for measuring attribute weights show only weak to moderate agreement in the weight assignments. However, there have been few theoretical bases explaining this divergence, and thus we have little knowledge of the conditions under which the weight...

In this paper the integrated risk measure of Damant and Satchell (1996) is used to formulate an investor's utility function and the properties of this function are investigated. The authors calibrate their utility function for a typical UK investor who would hold different proportions of equity....

This paper applies Bayesian variable selection methods from the statistics literature to give guidance in the decision to include/omit factors in a global (linear factor) stock return model. Once one has accounted for country and sector, it is possible to see which style or styles best explains...

The purpose of this paper is to consider how to forecast implied volatility for a selection of UK companies with traded options on their stocks. The authors consider a range of GARCH and log--ARFIMA based models as well as some simple forecasting models. Overall, it is found that a log-ARFIMA...

This paper proposes the unobserved fundamental component of volatility as a measure of risk. This concept of fundamental volatility may be more meaningful than observed volatility for market regulators. Fundamental volatility may be obtained using a stochastic volatility model. The authors...

The purpose of this paper is to build an asset pricing model for emerging markets using higher moments. It is well-known that conventional CAPM models fail to explain the risk present in the data. The contribution of this paper is to use an extended CAPM that explicitly involves measures of...