Similar Search Results

Gödker, Katrin - 2019

It has been shown that individual investors are more likely to buy rather than sell stocks that catch their attention. This can lead to suboptimal choices when attention-attracting qualities of a stock may indirectly detract from its utility. This paper tests the causal effect of extreme stock...

Persistent link: https://www.econbiz.de/10012900508

Incomplete information, idiosyncratic volatility and stock returns

Berrada, Tony; Hugonnier, Julien - 2009

predicted by standard asset pricing models by including a term that is the product of the stock's idiosyncratic volatility and … volatility and expected stocks returns. Relying on forecast revisions from IBES, we construct a new variable that proxies for … this term and show that it explains a signi cant part of the empirical relation between idiosyncratic volatility and stock …

Persistent link: https://www.econbiz.de/10003962073

On the correlation structure of microstructure noise in theory and practice

Diebold, Francis X.; Strasser, Georg H. - 2008

return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … informed conjectures as to improved volatility estimation methods. -- Realized Volatility ; Market Microstructure Theory ; High … between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The …

Persistent link: https://www.econbiz.de/10003831222

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...

Persistent link: https://www.econbiz.de/10011721618

Belief Updating and Investment Decisions : The Impact of Good or Bad News Varies With Prior Returns

Trutmann, Kevin; Heinke, Steve; Rieskamp, Jörg - 2022

Investors' belief updating differs for investments in a gain position versus those in a loss position and by the favorability of the news, leading to a anomalies in investment decisions. We propose a context-sensitive reinforcement learning model unifying these empirical findings. In a...

Persistent link: https://www.econbiz.de/10013491946

Selected techniques of detecting structural breaks in financial volatility

Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 32-43

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …

Persistent link: https://www.econbiz.de/10011393264