Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...

This paper aims to examine the reactions among institutional and individual investors when facing those listed firms' public announcements, and the effects of their trading on stock returns on the Taiwan Stock Exchange (TSE). By employing a trivariate vector autoregressive (VAR) model, we find...

We analyze investors' motives for trading on international stock markets and investigate whether evidence for these motives is robust when time-varying market volatility, changes between calm and turbulent periods, and existence of international financial spillovers are controlled for. Applying...

We show in a simple framework that momentum trading can exist in equilibrium and momentum trading is profitable. Properties of the model fit the empirics well. First, the model captures in a parsimonious manner both short-term overreaction and long-term reversals. Second, it predicts that...

This paper evaluates if sentiment extracted from social media and options volume anticipates future asset return. Using both textual based data and a particular market data derived call-put ratio, between July 2009 and September 2012, this research shows that: 1) features derived from market...

We assume that the drift in the returns of asset prices consists of an idiosyncratic component and a common component given by a co-integration factor. We analyze the optimal investment strategy for an agent who maximizes expected utility of wealth by dynamically trading in these assets. The...

This paper studies the added value of intentional style herding for mutual fund managers. We find that herding in styles is significant and persistent, especially for active funds. We also report that herding tends to increase after periods of high market volatility, and decrease with sentiment....

We measure the information content of monthly analyst consensus forecasts for one-year-forward earnings per share (EPS) based on two well-established price discovery measures drawn from the area of market micro-structure research. Employing a 36-year sample of large US companies listed in the...

Based on Hirshleifer et al. (1998, "Investor Psychology and Security Market Under- and Overreactions") and Fama and French (1988, “Permanent and Temporary Components of Stock Prices”) an overview over the microeconomic models simulating investor behavior with short-term momentum and...