investors in international markets have similar underreaction to the same news characteristics …

-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The … higher if the more risk-averse agents are net sellers or if the asset supply expands over time …

in equity and debt markets. Such developments are often attributed to the increased integration of world financial … markets. We present a model that allows us to examine how greater integration in world financial markets affects the behavior … concentrated in bonds. As integration progresses and households gain access to world equity markets, the size and volatility of …

Typically, models of stock prices or returns assume homogeneity of risk preference parameters. This study shows … modeling of IPO prices necessarily is with reference to the distribution of risk preference parameters that already are … represented in secondary equity markets. Modeling of stock returns is shown predicated only on changes to investors' information …

stock markets are essentially a random walk and it is a fool’s game to try and predict them. Predicting stock prices is a … forecasting is an area that shows great promise. In this paper, we first provide a concise review of stock markets and taxonomy of …