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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

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

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

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

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

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

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

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

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

What can rational investors do about excessive volatility and sentiment fluctuations?

Dumas, Bernard (contributor); Kurshev, Alexander (contributor) - 2005

Persistent link: https://www.econbiz.de/10003726455

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