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A note on Stein's overreaction puzzle

Lin, Yuehao; Lehnert, Thorsten - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 269-276

Persistent link: https://www.econbiz.de/10012285399

Examining the sources of excess return predictability : stochastic volatility or market inefficiency?

Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - 2018

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The performance of model based option trading strategies

Eraker, Bjørn - In: Review of derivatives research 16 (2013) 1, pp. 1-23

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An idea of risk-neutral momentum and market fear

Schadner, Wolfgang - In: Finance research letters 37 (2020), pp. 1-6

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Risk-neutral momentum and market fear

Schadner, Wolfgang - 2019

Persistent link: https://www.econbiz.de/10012133935

Investor sentiment and interest rate volatility smile : evidence from Eurodollar options markets

Chen, Cathy Yi-Hsuan; Kuo, I.-doun - In: Review of quantitative finance and accounting 43 (2014) 2, pp. 367-391

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Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set

Sala, Carlo; Barone-Adesi, Giovanni - 2015

Supported by empirical examples, this paper provides a theoretical analysis on the impacts of using a suboptimal information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental theorems of asset pricing. While inferring the...

Persistent link: https://www.econbiz.de/10011506352