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Aggregate idiosyncratic volatility, dynamic aspects of loss aversion, and narrow framing

Hur, Jungshik; Mbanga, Cedric - In: Review of quantitative finance and accounting 49 (2017) 2, pp. 407-433

Persistent link: https://www.econbiz.de/10011797092

High idiosyncratic volatility and low returns : a prospect theory explanation

Bhootra, Ajay; Hur, Jungshik - In: Financial management 44 (2015) 2, pp. 295-322

Persistent link: https://www.econbiz.de/10011372617

Momentum and disposition effect : the impact of capital gains and temporal variation in price elasticity of demand of stocks

Hur, Jungshik; Vivek Singh - In: Journal of world economic review 7 (2012) 2, pp. 127-145

Persistent link: https://www.econbiz.de/10009697261

The role of investor attention in idiosyncratic volatility puzzle and new results

Hur, Jungshik; Vivek Singh - In: Review of quantitative finance and accounting 58 (2022) 1, pp. 409-434

Persistent link: https://www.econbiz.de/10012796173

The robust “maximum daily return effect as demand for lottery” and “idiosyncratic volatility puzzle”

Egginton, Jared; Hur, Jungshik - In: Journal of empirical finance 47 (2018), pp. 229-245

Persistent link: https://www.econbiz.de/10012103500

Diversification and idiosyncratic volatility puzzle : evidence from ETFs

Duanmu, Jun; Hur, Jungshik; Li, Yongjia - In: Research in international business and finance 71 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015062053

Extreme returns and investor attention to Bitcoin

Mbanga, Cedric - In: The empirical economics letters : a monthly … 17 (2018) 10, pp. 1253-1258

Persistent link: https://www.econbiz.de/10012006818

High Idiosyncratic Volatility and Low Returns : A Prospect Theory Explanation

Bhootra, Ajay - 2014

The well-documented negative relationship between idiosyncratic volatility and stock returns is puzzling if investors are risk-averse. However, under prospect theory, while investors are risk-averse in the domain of gains, they exhibit risk-seeking behavior in the domain of losses. Consistent...

Persistent link: https://www.econbiz.de/10013068045