Social interaction contributes to stochastic volatility and momentum in financial markets. By developing a simple evolutionary model of asset pricing and population game, we incorporate social interaction among investors with information uncertainty and show that social interaction leads to the...

This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent price changes and price levels, which two lead to a belief in continuing trend and mean-reversion respectively. The...

This paper investigates the relationships among cross-sectional stock returns and analysts' forecast revisions, forecast dispersion and momentum. Market rewards the strategy in pursuit of revision up and away from revision down by 22.7% per annum over the 1983-2015 periods. I find that the...

We propose to estimate the variance of a time series of financial returns through a quantile autoregressive model (QAR) and demonstrate that the return QAR model contains all information that is commonly captured in two separate equations for the mean and variance of a GARCH-type model. In...

The persistence in time of the calendar anomalies is one of the most disputed subjects from the financial literature. Quite often, the passing from quiet to turbulent periods of time provokes radical changes in the investors' behaviors which affect the stock markets seasonality. In this paper we...

This paper examines the impact of national culture on herding behaviour across international financial markets. The relation between national culture and investor behaviour, and how it impacts overall market volatility is studied by examining synchronized stock price movements and stock market...

This paper explores the effects of domestic and US macroeconomic announcement on the Romanian stock market. We found that some domestic macroeconomic announcement linked by the monetary policy had a consistent influence on the stock prices evolution. We also identify that some US macroeconomic...

This paper investigates whether news suggestive of irrationality within financial markets have an impact on stock returns. We construct a lexicon of words for 'market irrationality' and score daily news articles based on the number and proportion of words they contain from the lexicon. We find...

Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been developed to counter this. However, like all insurance types, these strategies are generally costly to implement, and over time can significantly reduce portfolio returns in long...

The author identifies and explains asymmetric reactions in implied volatility of S&P 500 Index options across the term structure based on news sentiment. The asymmetry of the reaction is more pronounced for fear (proxied by put options) than for greed (proxied by call options). This asymmetry is...