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Essays on rational asset pricing
Szymanowska, Marta - 2006
Persistent link: https://www.econbiz.de/10003931569
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What Do Fund Flows Reveal About Asset Pricing Models and Investor Sophistication?
Jegadeesh, Narasimhan - 2019
models. Berk and van Binsbergen (2016) claim that this evidence indicates CAPM is the best asset pricing model but Barber …
Persistent link: https://www.econbiz.de/10012900390
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Understanding momentum and reversal
Kelly, Bryan T.; Moskowitz, Tobias J.; Pruitt, Seth - In: Journal of financial economics 140 (2021) 3, pp. 726-743
Persistent link: https://www.econbiz.de/10013259592
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What do fund flows reveal about asset pricing models and investor sophistication?
Jegadeesh, Narasimhan; Mangipudi, Chandra Sekhar - In: The review of financial studies 34 (2021) 1, pp. 108-148
Persistent link: https://www.econbiz.de/10012405804
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Investor sentiment and the cross-section of stock returns : new theory and evidence
Ding, Wenjie; Mazouz, Khelifa; Wang, Qingwei - In: Review of quantitative finance and accounting 53 (2019) 2, pp. 493-525
Persistent link: https://www.econbiz.de/10012225936
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Dynamic attention behavior under return predictability
Andrei, Daniel; Hasler, Michael - In: Management science : journal of the Institute for … 66 (2020) 7, pp. 2906-2928
Persistent link: https://www.econbiz.de/10012268553
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Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market
Schasfoort, Joeri; Stockermans, Christopher - 2017
The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...
Persistent link: https://www.econbiz.de/10011723700
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Risks and rewards for momentum and reversal portfolios
Li, Yuming - In: Financial markets and portfolio management 31 (2017) 3, pp. 289-315
Persistent link: https://www.econbiz.de/10011951760
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Contrarian behavior, information networks and heterogeneous expectations in an asset pricing model
Makarewicz, Tomasz - In: Computational economics 50 (2017) 2, pp. 231-279
Persistent link: https://www.econbiz.de/10011762381
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Asset pricing with investor sentiment : on the use of investor group behavior to forecast ASEAN markets
French, Jordan - In: Research in international business and finance 42 (2017), pp. 124-148
Persistent link: https://www.econbiz.de/10011750198