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The impact of elasticity on disposition effect driven momentum, substitutability, size, and January seasonality

Egginton, Jared; Hur, Jungshik; Vivek Singh - In: Review of quantitative finance and accounting 52 (2019) 3, pp. 759-780

Persistent link: https://www.econbiz.de/10012171725

High idiosyncratic volatility and low returns : a prospect theory explanation

Bhootra, Ajay; Hur, Jungshik - In: Financial management 44 (2015) 2, pp. 295-322

Persistent link: https://www.econbiz.de/10011372617

Momentum and disposition effect : the impact of capital gains and temporal variation in price elasticity of demand of stocks

Hur, Jungshik; Vivek Singh - In: Journal of world economic review 7 (2012) 2, pp. 127-145

Persistent link: https://www.econbiz.de/10009697261

Does long-term disequilibrium in stock price predict future returns?

Hur, Jungshik; Vivek Singh - In: Review of quantitative finance and accounting 41 (2013) 4, pp. 753-767

Persistent link: https://www.econbiz.de/10010246376

The timing of 52-week high price and momentum

Bhootra, Ajay; Hur, Jungshik - In: Journal of banking & finance 37 (2013) 10, pp. 3773-3782

Persistent link: https://www.econbiz.de/10010126827

The role of investor attention in idiosyncratic volatility puzzle and new results

Hur, Jungshik; Vivek Singh - In: Review of quantitative finance and accounting 58 (2022) 1, pp. 409-434

Persistent link: https://www.econbiz.de/10012796173

Reexamining momentum profits : underreaction or overreaction to firm-specific information?

Hur, Jungshik; Vivek Singh - In: Review of quantitative finance and accounting 46 (2016) 2, pp. 261-289

Persistent link: https://www.econbiz.de/10011588318

How do disposition effect and anchoring bias interact to impact momentum in stock returns?

Hur, Jungshik; Vivek Singh - In: Journal of empirical finance 53 (2019), pp. 238-256

Persistent link: https://www.econbiz.de/10012171673

Diversification and idiosyncratic volatility puzzle : evidence from ETFs

Duanmu, Jun; Hur, Jungshik; Li, Yongjia - In: Research in international business and finance 71 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015062053

High Idiosyncratic Volatility and Low Returns : A Prospect Theory Explanation

Bhootra, Ajay - 2014

The well-documented negative relationship between idiosyncratic volatility and stock returns is puzzling if investors are risk-averse. However, under prospect theory, while investors are risk-averse in the domain of gains, they exhibit risk-seeking behavior in the domain of losses. Consistent...

Persistent link: https://www.econbiz.de/10013068045