Social interaction contributes to stochastic volatility and momentum in financial markets. By developing a simple evolutionary model of asset pricing and population game, we incorporate social interaction among investors with information uncertainty and show that social interaction leads to the...

Behavioral economics identifies myriad deviations from classical economic assumptions about consumer decision-making, but lacks evidence on how its diverse phenomena fit together and whether they are amenable to modeling as low-dimensional constructs. We pursue such parsimony on three fronts,...

This study investigates positive and negative price shocks in individual securities and the degree to which they affect related firms in the same industry. This price contagion effect is significant with initial price shocks leading to substantial long-term abnormal returns across firms in the...

Recent literature theoretically assumes that exuberant Investors' sentiments increase the price of capital, signals strong fundamentals of the real side of the economy and drive asymmetric nonlinear asset prices. This study offers empirical insights into the interaction between investor...

We conduct an empirical investigation of the exposure of U.S. REIT returns to commonality in liquidity. Taking advantage of the specific characteristics of REITs, we study three types of commonality in liquidity: within-asset commonality, cross-asset commonality (with the stock market), and...

I use data from an online financial service to show that many consumers fail to stick to their self-set debt paydown plans, and argue that this behavior is best explained by present bias. Each user's sensitivity of consumption spending to paycheck receipt proxies for his short-run impatience. I...

The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed...

Recent empirical research finds that the term structures of risk premia, return volatilities and Sharpe ratios on dividend strips are all downward-sloping (van Binsbergen et al. (2012)), but these observations cannot be explained by most asset-pricing theories. In this paper, I resolve this...

The Size effect is one of the prominent anomalies which have been observed in the stock markets around the world. The present study attempts to find out if the portfolio of small stocks yields higher returns vis-a-vis the portfolio of large stocks and whether the size effect is present in the...

The value of technical analysis (TA) has been debated for decades; however, limited evidence exists on the profitability of investment recommendations issued by technical analysts. These ‘chartists' sometimes claim that TA is an art rather than a science. We evaluated more than 5000 TA-based...