The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the Nikkei 225 index (Nikkei 225) from January 4, 1975 to...

This study examined the predictive power of performance persistence from the perspective of prospect theory using 12 months of return distributions. Performance persistence stems from unique information that differs from momentum, disposition effect, and firm-specific variables related to the...