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Heterogeneous Beliefs and Stock Market Fluctuations

McCarthy, Odhrain; Hillenbrand, Sebastian - 2022

Stock prices aggregate the beliefs of different investors. Using this insight, we estimate the fraction of stock market investors holding survey beliefs. We find that 42% of investors hold beliefs matching those of equity analysts and 25% hold beliefs as observed in individual investor return...

Persistent link: https://www.econbiz.de/10014238395

Overconfidence, Sentiment and Beta Herding : A Behavioral Explanation of the Low-Beta Anomaly

Hwang, Soosung - 2020

We investigate asset returns using the concept of beta herding, which measures cross-sectional variations in betas … optimistic sentiment causes beta herding (compression of individual assets' betas towards the market beta), while under …-confidence or pessimistic sentiment leads to adverse beta herding (dispersion of betas away from the market beta). We find that beta …

Persistent link: https://www.econbiz.de/10012851704

Stock Portfolio with Fama-French Model in Indonesian Stock Exchange

Pasaribu, Rowland Bismark - 2011

This study examines empirically the Fama and French three factor model of stock returns using Indonesian data over 2003-2006 period. Specifically, it examines the behavior of stock prices, in relation to size (market equity, ME) and book-to-market ratio. The major objective of this study is to...

Persistent link: https://www.econbiz.de/10013123907

Cross-sectional analysis of stock returns in Athens Stock Exchange for the period 2004-2011

Svingou, Argiro - In: Spoudai : journal of economics and business 63 (2013) 1/2, pp. 100-120

This study is an investigation of the factors affecting the average returns of stocks that were traded on the Athens Stock Exchange for the period July 2004 - June 2011. The methodological approach is similar to that applied by Fama and French (1992), in the first stage, stocks are grouped into...

Persistent link: https://www.econbiz.de/10010255677

Paper profits from value, size and momentum : Evidence from the Polish market

Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69

In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...

Persistent link: https://www.econbiz.de/10011455379

A comparative analysis of the explanatory power of the CAPM and the Fama-French three-factor model on cross-sectional variation of returns on stocks trading on the official market of the Macedonian Stock exchange

Besimi, Fatmir; Bisheva, Ana - In: Economy, business & development : an international journal 2 (2021) 1, pp. 1-11

Abstract: The amount of literature on factors that explain the cross-sectional variation in average returns is vast, however, the majority of these papers attempt to explain the variation of returns in developed and emerging markets. In that sense, the literature lacks sufficient evidence...

Persistent link: https://www.econbiz.de/10015327272

Analysis of Asset Growth Anomaly on Cross-Section Stock Returns : Evidence from Indonesia Stock Exchange

Iqbal, Muhammad - 2015

Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequent periods. This study finds that an...

Persistent link: https://www.econbiz.de/10013018027

Essays on labor markets and empirical finance

Room, Tairi - 2004

Persistent link: https://www.econbiz.de/10003383783

Herding in fast moving consumer group sector : equity market asymmetry and crisis

Bharti, Bharti; Kumar, Ashish - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 9, pp. 39-49

Persistent link: https://www.econbiz.de/10012670774

Herd behaviour and asset pricing in the Indian stock market

Chauhan, Yash; Ahmad, Nehal; Aggarwal, Vaishali; … - In: IIMB management review 32 (2020) 2, pp. 143-152

Persistent link: https://www.econbiz.de/10012489667