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Abnormal returns and idiosyncratic volatility puzzle : evidence from the Chinese stock market
Qu, Zhengyang; Liu, Xiaotian; He, Shi - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 5, pp. 1184-1198
Persistent link: https://www.econbiz.de/10012210689
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Probability weighting and employee stock options
Spalt, Oliver - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 4, pp. 1085-1118
Persistent link: https://www.econbiz.de/10010255215
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Aggregate Idiosyncratic Volatility, Dynamic Aspects of Loss Aversion, and Narrow Framing
Hur, Jungshik - 2015
We test the dynamic aspects of the loss aversion feature of Kahneman and Tversky (1979) and find that idiosyncratic volatility is negatively associated with unrealized gains of stock returns. Moreover, we show that this negative relationship is stronger for stocks with high individual investors'...
Persistent link: https://www.econbiz.de/10013015494
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Currency returns and downside risk : Debt, volatility, and the gap from benchmark values
Cavusoglu, Nevin; Goldberg, Michael D.; Stillwagon, Josh - In: Journal of macroeconomics 68 (2021), pp. 1-23
Persistent link: https://www.econbiz.de/10012630994
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The idiosyncratic risk-return relation : a quantile regression approach based on the prospect theory
Lee, Bong-soo; Li, Leon - In: The journal of behavioral finance : a publication of … 17 (2016) 2, pp. 124-143
Persistent link: https://www.econbiz.de/10011590958
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The interaction between risk, return-risk trade-off and complexity: Evidence and policy implications for US bank holding companies
McMillan, David G.; McMillan, Fiona J. - In: Journal of international financial markets, … 47 (2017), pp. 103-113
Persistent link: https://www.econbiz.de/10011892256
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Do the loss patterns of financial assets influence investors' perceived risk? : from the perspective of loss aversion
Sheu, Her-jiun; Lee, Hui-Tzu; Luo, Lieh-Ming; Lee, Chih-Wei - In: Journal of financial studies : JFS : the official … 31 (2023) 2, pp. 39-59
Persistent link: https://www.econbiz.de/10014339147
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Toxic chemical releases and idiosyncratic return volatility : a prospect theory perspective
Bahadar, Stephen; Nadeem, Muhammad; Zaman, Rashid - In: Accounting and finance 63 (2023) 2, pp. 2109-2143
Persistent link: https://www.econbiz.de/10014302072
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Prospect theory and risk appetite : an application to traders' strategies in the financial market
Cao, Shi-Nan; Deng, Jing; Li, Honggang - In: Journal of economic interaction and coordination : JEIC 5 (2010) 2, pp. 249-259
Persistent link: https://www.econbiz.de/10008822678
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Investor behavior and volatility asymmetry
Talpsepp, Tõnn - 2010
Persistent link: https://www.econbiz.de/10008840891