Similar Search Results

Minimum variance portfolio in ASEAN-6 stock markets diversification : a Vietnamese perspective

Tri Hoang - In: Cogent business & management 9 (2022) 1, pp. 1-23

Using daily and monthly MSCI index returns of Association of Southeast Asian Nations (ASEAN) markets for the period 2007 and 2021, this study aims to examine if there are any advantages to diversification in ASEAN markets for Vietnamese investors and if those perks have altered between pre and...

Persistent link: https://www.econbiz.de/10014429106

Rationality and asset prices under belief heterogeneity

Giachini, Daniele - 2018

In this paper I study the relationship between rationality and asset prices when agents have heterogeneous and incorrect beliefs about future events. Using the fully rational pricing as a benchmark, I show that when agents behave according to the Subjective Generalized Kelly rule (Bottazzi et...

Persistent link: https://www.econbiz.de/10011805975

Who falls prey to the Wolf of Wall Street? : investor participation in market manipulation

Leuz, Christian; Meyer, Steffen; Muhn, Maximilian; … - 2018

Manipulative communications touting stocks are common in capital markets around the world. Although the price distortions created by so-called "pump-and-dump" schemes are well known, little is known about the investors in these frauds. By examining 421 "pump-and-dump" schemes between 2002 and...

Persistent link: https://www.econbiz.de/10011932390

Anchoring Heuristic and Asset Prices

Siddiqi, Hammad - 2017

Decision-makers typically rely on informative starting points that are somewhat incorrect and then attempt to make appropriate adjustments. Such reliance on informative starting points may be an optimal response of a Bayesian decision-maker who faces finite computational resources (Lieder et al...

Persistent link: https://www.econbiz.de/10012969886

A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises

Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016

In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...

Persistent link: https://www.econbiz.de/10011441491

Trading Volume Effects of Moving Average Heuristics

Etheber, Thomas - 2014

We investigate the trading volume effects of moving average heuristics drawn from technical analysis. Our empirical … analyses demonstrate that these heuristics lead to significant abnormal trading activity. In comparison to normal levels … observed surge in trading volume suggests that many investors perceive signals from simple heuristics as a reason to trade …

Persistent link: https://www.econbiz.de/10013044784

Continuous-Time Evolutionary Stock and Bond Markets with Time-Dependent Strategies

Yang, Zhaojun; Shi, Feng - 2012

This paper develops a general continuous-time evolutionary finance model with time-dependent strategies. It is shown that the continuous model, which is a limit of a general discrete model, is well-defined and if there exists one completely diversified strategy in the market, then there is no...

Persistent link: https://www.econbiz.de/10014220854

Expected Idiosyncratic Volatility

Bekaert, Geert; Bergbrant, Mikael C.; Kassa, Haim - 2022

We use 92,632,873 daily returns for 33,010 US firms to establish the best forecasting model for realized idiosyncratic variances. Comparing forecasts from 10 different models, we find that the most popular models, the martingale and GARCH type models, perform worst. Using the...

Persistent link: https://www.econbiz.de/10014078357

Time-Varying Dependence in European Equity Markets : A Contagion and Investor Sentiment Driven Analysis

Niţoi, Mihai; Pochea, Miruna - 2020

In the light of the global financial crisis and sovereign debt crisis, this paper investigates the dependence patterns in 24 European equity markets from January 5, 2004 to July 1, 2016. We further examine whether these stressful events trigger contagion. Given that investors tend to behave...

Persistent link: https://www.econbiz.de/10014099171

Liquidity Shocks and Pension Fund Performance : Evidence From the Early Release Scheme

Brugler, James; Kim, Minsoo; Zhong, Zhuo - 2021

We study how expectations of fund flows causally affect fund performance by exploiting a quasi-natural experiment in the Australian pension system where an unexpected policy change temporarily allowed fund withdrawals from a pre-specified date in the future. Using fractions of young members,...

Persistent link: https://www.econbiz.de/10013251091