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Price volatility and investor behavior in an overlapping generations model with information asymmetry
Watanabe, Masahiro - In: The journal of finance : the journal of the American … 63 (2008) 1, pp. 229-272
Persistent link: https://www.econbiz.de/10003821591
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Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model
Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119
Persistent link: https://www.econbiz.de/10011333691
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The effects of sentiment on market return and volatility and the cross-sectional risk premium of sentiment-affected volatility
Yang, Yan; Copeland, Laurence S. - 2014
We construct investor sentiment of UK stock market using the procedure of principal component analysis. Using sentiment-augmented EGARCH component model, we analyse the impacts of sentiment on market excess return, the permanent component of market volatility and the transitory component of...
Persistent link: https://www.econbiz.de/10010380934
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Heterogeneous beliefs and tests of present value models
Kasa, Kenneth; Walker, Todd B.; Whiteman, Charles H. - In: The review of economic studies 81 (2014) 3, pp. 1137-1163
Persistent link: https://www.econbiz.de/10010485954
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Time-varying, heterogeneous risk aversion and dynamics of asset prices among boundedly rational agents
Park, Beum-jo - In: Journal of banking & finance 43 (2014), pp. 150-159
Persistent link: https://www.econbiz.de/10010408997
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Heterogeneous beliefs and the cross-section of asset returns
He, Xue-zhong; Shi, Lei - 2012
Persistent link: https://www.econbiz.de/10009564462
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Heterogeneous beliefs in asset pricing : when investors' estimates of asset volatility disagree
Lin, Chien-chih; Lin, Feng-teng - In: Asia-Pacific journal of financial studies 39 (2010) 6, pp. 720-735
Persistent link: https://www.econbiz.de/10009231507
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Einfluss subjektiver Erwartungen auf endogene Wertpapierpreise in Ökonomien überlappender Generationen
Deutscher, Nicole - 2003
Persistent link: https://www.econbiz.de/10003402362
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Asset prices and alternative characterizations of the pricing kernel
Lüders, Erik (contributor) - 2002
Persistent link: https://www.econbiz.de/10001701661
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Stock market overreaction to bad news in good times : a rational expectations equilibrium model
Veronesi, Pietro - In: The review of financial studies 12 (1999) 5, pp. 975-1007
Persistent link: https://www.econbiz.de/10001434628