Similar Search Results

Microfoundations of Heteroscedasticity in Asset Prices : A Loss-Aversion-Based Explanation of Asymmetric GARCH Models

Ormos, Mihály - 2016

This paper provides a theoretical explanation for the heteroscedasticity of asset returns. In line with existing empirical results, our model yields an asymmetric relationship between stock return and volatility. Based on the simple assumptions that investors behave according to Prospect Theory...

Persistent link: https://www.econbiz.de/10012998364

Price dynamics and market volatility : behavioral heterogeneity under switching trading strategies on artificial financial market

Rekik, Yosra Mefteh; Boujelbene, Younes - In: International journal of financial research 6 (2015) 2, pp. 33-43

Persistent link: https://www.econbiz.de/10011404729

Structural VAR approach to mutual fund cash flows : net flows, inflows, and outflows

Ha, Yeonjeong; Lee, Bong-soo; Paek, Miyoun; Ko, Kwangsoo - In: Asia-Pacific journal of financial studies 44 (2015) 1, pp. 59-87

Persistent link: https://www.econbiz.de/10011458876

European stock market dynamics : implications of overconfidence and the disposition effect for turnover

Ouarda, Moatemri; Bori, Abdelfeteh El - In: International journal of behavioural accounting and … 4 (2013) 2, pp. 133-152

Persistent link: https://www.econbiz.de/10010393876

Do large losses loom larger than gains? : salience, holding periods, and the disposition effect

Kotomin, Vladimir; Varma, Abhishek - In: The financial review : the official publication of the … 57 (2022) 2, pp. 397-427

Persistent link: https://www.econbiz.de/10013189822

Stock volatility and trading

Agapova, Anna; Kaprielyan, Margarita - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012664502

Idiosyncratic volatility shocks, behavior bias, and cross-sectional stock returns

Fenner, Richard Gunther; Han, Yufeng; Huang, Zhaodan - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 276-293

Persistent link: https://www.econbiz.de/10012416652

A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis

Cao, Ruanmin; Horváth, Lajos; Liu, Zhenya; Zhao, Yuqian - In: Review of quantitative finance and accounting 54 (2020) 1, pp. 335-358

Persistent link: https://www.econbiz.de/10012232846

The robust “maximum daily return effect as demand for lottery” and “idiosyncratic volatility puzzle”

Egginton, Jared; Hur, Jungshik - In: Journal of empirical finance 47 (2018), pp. 229-245

Persistent link: https://www.econbiz.de/10012103500

An examination of the relationship between the disposition effect and stock return, volatility, and trading volume : the evidence in US stock markets

Afi, Hatem - In: International journal of managerial and financial accounting 9 (2017) 3, pp. 242-262

Persistent link: https://www.econbiz.de/10011847010

1
2
3
4
5
6
7
8
9
10
Next
Last