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Extreme daily returns and the cross-section of expected returns : evidence from Brazil
Berggrun, Luis; Cardona, Emilio; Lizarzaburu, Edmundo - In: Journal of business research : JBR 102 (2019), pp. 201-211
Persistent link: https://www.econbiz.de/10012103964
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Does mixed-frequency investor sentiment impact stock returns? : based on the empirical study of MIDAS regression model
Yang, Chunpeng; Zhang, Rengui - In: Applied economics 46 (2014) 7/9, pp. 966-972
Persistent link: https://www.econbiz.de/10010399534
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Effects of investor sentiment on stock return volatility : a spatio-temporal dynamic panel model
Jiang, Shangwei; Jin, Xiu - In: Economic modelling 97 (2021), pp. 298-306
Persistent link: https://www.econbiz.de/10012793454
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Asset prices in a lifecycle economy
Farmer, Roger E. A. - 2014
Persistent link: https://www.econbiz.de/10010363302
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Asset prices in a lifecycle economy
Farmer, Roger E. A. - 2014
Persistent link: https://www.econbiz.de/10010339678
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A note on Stein's overreaction puzzle
Lin, Yuehao; Lehnert, Thorsten - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 269-276
Persistent link: https://www.econbiz.de/10012285399
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Seasonality in perceived risk : a sentiment effect
Kaplanski, Guy; Levy, Haim - In: The quarterly journal of finance 7 (2017) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10011646576
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Examining the sources of excess return predictability : stochastic volatility or market inefficiency?
Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - 2018
Persistent link: https://www.econbiz.de/10011977460
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Volatility and the pricing kernel
Schreindorfer, David; Sichert, Tobias - 2022 - This draft: January 31, 2022
Persistent link: https://www.econbiz.de/10012816005
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Taming momentum crashes
Bianchi, Daniele; De Polis, Andrea; Petrella, Ivan - 2024
Persistent link: https://www.econbiz.de/10014529581