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Risk aversion, investor information and stock market volatility

Lansing, Kevin J.; LeRoy, Stephen F. - In: European economic review : EER 70 (2014), pp. 88-107

Persistent link: https://www.econbiz.de/10010496407

Dynamics of equity factor returns and asset pricing

Stoyanov, Stoyan V.; Fabozzi, Francesco A. - In: Journal of financial econometrics 19 (2021) 1, pp. 178-201

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Excess sensitivity of stock markets to negative returns

Azar, Samih Antoine; Basmadjian, Raffi - In: International journal of economic perspectives : IJEP 6 (2012) 1, pp. 5-38

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Momentum and the cross-section of stock volatility

Fan, Minyou; Kearney, Fearghal; Li, Youwei; Liu, Jiadong - In: Journal of economic dynamics & control 144 (2022), pp. 1-30

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Revisiting the CAPM model with quantile regression : creating investment strategies on the Zagreb Stock Exchange

Škrinjarić, Tihana; Slišković, Marina - In: International journal of economics and business … 19 (2020) 3, pp. 266-289

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Endogenous Participation, Risk, and Learning in the Stock Market

Shin, Michael - 2019

-country correlation between participation rates and the volatility of excess returns along with the time-varying participation rates in … price volatility. When agents adaptively learn about the risk and return, the model can generate 25% of the excess … volatility in stock prices observed in U.S. data while matching key moments. With learning about risk, excess volatility of …

Persistent link: https://www.econbiz.de/10012868061