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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …
Persistent link: https://www.econbiz.de/10012842392
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Asset Pricing with Heterogeneous Agents and Long-Run Risk
Pohl, Walt - 2020
volatility of the price--dividend ratio, the predictability of cash flows and returns, and the large predictability of returns in …
Persistent link: https://www.econbiz.de/10012853501
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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012196296
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Cross-sectional reversal of intraday returns and investor heterogeneity in an emerging market
Chu, Xiaojun; Song, Shuang - In: Borsa Istanbul Review 23 (2023) 3, pp. 614-627
In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals are shown to be robust with respect to seasonality, alternative samples, and the daily price-limit rule. To investigate the potential drivers, trade volumes and order imbalances...
Persistent link: https://www.econbiz.de/10014308779
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Momentum Crashes and Variations to Market Liquidity
Butt, Hilal Anwar - 2019
We document that the variation in market liquidity is an important determinant of momentum crashes that is independent … sensitivity of short-leg of momentum portfolio to changes in market liquidity that flares the tail risk of momentum strategy in … such that the contemporaneous increase in market liquidity predominantly sums up the trademark negative relationship …
Persistent link: https://www.econbiz.de/10012895183
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Momentum and Illiquidity Premium in Indian Stock Market
Aziz, Tariq - 2015
This study links the role of momentum and illiquidity (as proxied by Amihud's Illiq) in the cross section of stock returns in India for the period 2000-2012. Illiquidity premium is more pronounced among winners. Illiquid winners outperform liquid winners by an average 2.7% per month. We report...
Persistent link: https://www.econbiz.de/10013033906
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Stock price booms and expected capital gains
Adam, Klaus; Beutel, Johannes; Marcet, Albert - 2014
successfully replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …
Persistent link: https://www.econbiz.de/10011490485
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The Impact of Stock Market Volatility Expectations on Investor Behavior : Evidence From Aggregate Mutual Fund Flows
Ederington, Louis H. - 2011
market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale …
Persistent link: https://www.econbiz.de/10013128717
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How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments
Driessen, Joost - 2011
effects of highs and lows on a stock's beta and return volatility. We find that implied volatilities and stock betas decrease …
Persistent link: https://www.econbiz.de/10013133792
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The Profitability of Technical Stock Trading has Moved from Daily to Intraday Data
Schulmeister, Stephan - 2010
This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. The former is exploited by trend-following models, while the latter by contrarian models. In total, the performance of 2580 widely used models is analyzed. When...
Persistent link: https://www.econbiz.de/10013135708