Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10011432790
In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...
Persistent link: https://www.econbiz.de/10011441491
Persistent link: https://www.econbiz.de/10011938136
In this paper, we introduce a new pseudo-Bayesian model to incorporate the impact of a financial Crisis and establish some properties of stock returns and investors' behaviors during the financial crisis and during recovery after crisis. Our proposed model can be applied to investigate some...
Persistent link: https://www.econbiz.de/10013104271
In this paper, we introduce a new Bayesian approach to explain some market anomalies. We first develop some properties on the expected earnings shock and its volatility and establish some properties of investors' behavior on the stock price and its volatility during a financial crisis and...
Persistent link: https://www.econbiz.de/10013027039