This research is aimed at a formal appraisal of recent advancements in stochastic volatility modeling and extreme-value theory to application of value-at-risk computation in particularly volatile markets. Established methods such as historical simulation are prone to underestimating...

Stock market anomalies representing the predictability of cross-sectional stock returns are one of most controversial topics in financial economic research. This chapter reviews several well-documented and pervasive anomalies in the literature, including investment-related anomalies, value...

The main purpose of this study is to empirically examine the relationship between uncertainty and idiosyncratic volatility of Nikkei 225 stocks. We conclude that there is a positive relationship between economic policy uncertainty and idiosyncratic volatility. Employing additional uncertainty...

Purpose - The current study aims to investigate the impacts of two behavioral biases, namely, loss aversion and overconfidence on the performance of US companies. First, the impact of loss aversion on the economic performance of companies was assessed. Second, the impact of overconfidence on...

This study investigates the dynamic connectedness across the variance risk premium in international developed and emerging equity markets based on a Bayesian time-varying parameter vector autoregressive methodology.The empirical results indicate that the total spillover index is on average...

We study the relationship between stock market return expectations and risk aversion of individuals and test whether the joint effects arising from the interaction of these two variables affect investment decisions. Using data from the Dutch National Bank Household Survey, we find that risk...

We investigate the time variations of the relative risk aversion parameter of a U.S. representative agent using 60 years of stock market data. We develop a methodology to identify the variables that explain the variations of risk aversion, based on an asset pricing model without valuation (or...

This paper employs a new and comprehensive data set to investigate short-term herding behavior of institutional investors. Using data of all transactions made by financial institutions in the German stock market, we show that herding behavior occurs on a daily basis. However, in contrast to...

BRICS (Brazil, Russia, India, China and South Africa) are viewed currently as pillars of relative political, economic and financial stability, with the prospect of a major shift in future world power. The paper aims at investigating the relationships among the economic, financial and political...

How does market trend sentiment affect investors' asymmetric loss-gain tradeoffs? Several empirical tests indicate that investors are far more loss adverse during bull markets than during bear markets (see Hwang and Satchell, 2010; Hofschire et al, 2013). In this paper we provide a sound theoretical...