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Asymmetric and negative return-volatility relation : a behavioural explanation
Abbes, Mouna Boujelbène; Salah, Ines Ben; Ellouze, … - In: International journal of economics and business research 6 (2013) 3, pp. 243-260
Persistent link: https://www.econbiz.de/10010351133
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The impact of ratings and other information on the fluctuation of Polish stock indexes
Adamczyk, Magdalena - In: Bank i kredyt 51 (2020) 3, pp. 239-262
Persistent link: https://www.econbiz.de/10012503380
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Volatility forecast incorporating investors' sentiment and its application in options trading strategies : a behavioural finance approach at Nifty 50 index
Mutum, Kelvin - In: Vision : the journal of business perspective 24 (2020) 2, pp. 217-227
Persistent link: https://www.econbiz.de/10012229815
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Overreaction to extreme market events and investor sentiment
Piccoli, Pedro; Chaudhury, Mohammed M. - In: Applied economics letters 25 (2018) 2, pp. 115-118
Persistent link: https://www.econbiz.de/10011853707
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The Janus view : do market participants looking into the past impact foreign exchange volatility?
Trivedi, Smita Roy - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 3990-4001
Persistent link: https://www.econbiz.de/10013461303
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Stock jump, underperformance and undervaluation : evidence from emerging market
Rudiawarni, Felizia Arni; Sulistiawan, Dedhy; Frendy - In: International journal of monetary economics and finance … 15 (2022) 6, pp. 527-541
Persistent link: https://www.econbiz.de/10014320522
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Does volatility mediate the impact of analyst recommendations on herding in Malaysian stock market?
Ooi Kok Loang; Zamri Ahmad - In: Economics and business review 7/21 (2021) 4, pp. 54-71
Persistent link: https://www.econbiz.de/10012806043
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Investor sentiment and option prices
Han, Bing - In: The review of financial studies 21 (2008) 1, pp. 387-414
Persistent link: https://www.econbiz.de/10003716174
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Empirical pricing kernels and investor preferences
Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007
This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...
Persistent link: https://www.econbiz.de/10003633572
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An overreaction implementation of the coherent market hypothesis and option pricing
Schöbel, Rainer (contributor); Veith, Jochen (contributor) - 2006
Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using our dynamic stock price model, we develop a two factor...
Persistent link: https://www.econbiz.de/10003636657