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Asymmetric News and Asset Pricing
Suijs, Jeroen - 2011
This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the …
Persistent link: https://www.econbiz.de/10013119323
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Asset Pricing in Production Economies with Extrapolative Expectations
Hirshleifer, David A. - 2015
Introducing extrapolative bias into a standard production-based model with recursive preferences reconciles salient stylized facts about business cycles (low consumption volatility, high investment volatility relative to output) and financial markets (high equity premium, volatile stock returns,...
Persistent link: https://www.econbiz.de/10013038191
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Ambiguity, Investor Disagreement, and Expected Stock Returns
Hsiao, Lawrence - 2021
to different information processing or to information asymmetry, and thus treat the other type's interpretation as an …
Persistent link: https://www.econbiz.de/10013217512
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A bibliometric analysis of machine learning econometrics in asset pricing
Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17
Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10013475217
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Information percolation, momentum and reversal
Andrei, Daniel; Cujean, Julien - In: Journal of financial economics 123 (2017) 3, pp. 617-645
Persistent link: https://www.econbiz.de/10011751401
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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …
Persistent link: https://www.econbiz.de/10012842392
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Reference-Dependent Preferences and the Risk-Return Trade-Off
Wang, Huijun - 2016
This paper studies the cross-sectional risk-return trade-off in the stock market. A fundamental principle in finance is the positive relation between risk and expected return, whereas recent empirical evidence suggests the opposite. Using several intuitive risk measures, we show that the...
Persistent link: https://www.econbiz.de/10013008098
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Resiliency and Stock Returns
Hua, Jian - 2020
We present resiliency as a measure of liquidity, and assess its relationship to expected returns. We establish a covariance-based measure, RES, that captures opening period resiliency and, using it, find a significant non-resiliency premium that ranges from 33 to 57 basis points per month. The...
Persistent link: https://www.econbiz.de/10012851808
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Mood Beta and Seasonalities in Stock Returns
Hirshleifer, David A. - 2020
Existing research has documented cross-sectional seasonality of stock returns—the periodic outperformance of certain stocks during the same calendar months or weekdays. We hypothesize that assets' different sensitivities to investor mood explain these effects and imply other seasonalities....
Persistent link: https://www.econbiz.de/10012854886
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Market-wide Misvaluation and the Value Premium
Cassella, Stefano; Chen, Zhaojing; Gulen, Huseyin; … - 2021
We show that the magnitude of the value premium over 1968-2018 is conditional on states of aggregate market-wide misvaluation. The value premium is 3.42% per month following market-wide undervaluation and 1.70% per month following market-wide overvaluation. When the aggregate market is neither...
Persistent link: https://www.econbiz.de/10013222336