The valuation of risky debt is central to theoretical and empirical work in corporate finance. Although much is known on the returns and valuation of bonds, there is hardly a consensus on the risk components of the yield spreads. This article aims to investigate the effect of investor sentiment...

We examine the relation between investor attention and financial market anomalies. We find that anomaly returns are higher following high-attention days. The result is robust after controlling for risk factors, the effect of news, and in a natural experiment setting in which the rounding of...

We measure bond and stock conditional return volatility as a function of changes in sentiment, proxied by six indicators from the Tel Aviv Stock Exchange. We find that changes in sentiment affect conditional volatilities at different magnitudes and often in an opposite manner in the two markets,...

The initial purpose of the study is to search whether the market exhibits herd behavior or not by examining the crypto asset market in the context of behavioral finance. And the second purpose of the study is to measure whether the financial information stimulates the herd behavior or not....

We introduce a novel composite probability distortion (CPD) score based on investors’ stock valuations derived from a pure-probability-weighting version of cumulative prospect theory and from salience theory. This measure is strongly and consistently priced in the cross-section of...

Greed has been shown to be an important economic motive. Both the popular press as well as scientific papers have mentioned questionable practices by greedy bankers and investors as one of the root causes of the 2008 global financial crisis. In spite of these suggestions, there is as of yet no...

We develop a general framework for measuring biases in expectation formation. The method is based on the insight that biases can be inferred from the response of forecast errors to past news. Empirically, biases are measured by flexibly estimating the impulse response function of forecast...