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Presentation Slides for 'Investor Psychology and Security Market Under and Overreactions'

Daniel, Kent D. - 2018

We propose a theory of securities market under- and overreactions based on two well-known psychological biases: investor overconfidence about the precision of private information; and biased self-attribution, which causes asymmetric shifts in investors' confidence as a function of their...

Persistent link: https://www.econbiz.de/10012918744

Lagged order flows and returns : a longer-term perspective

Subrahmanyam, Avanidhar - In: The quarterly review of economics and finance : journal … 48 (2008) 3, pp. 623-640

Persistent link: https://www.econbiz.de/10003747282

Theory-based illiquidity and asset pricing

Chordia, Tarun; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: The review of financial studies 22 (2009) 9, pp. 3629-3668

Persistent link: https://www.econbiz.de/10003885723

Liquidity skewness

Roll, Richard; Subrahmanyam, Avanidhar - In: Journal of banking & finance 34 (2010) 10, pp. 2562-2571

Persistent link: https://www.econbiz.de/10008858290

The cross-section of expected trading activity

Chordia, Tarun; Huh, Sahn-wook; Subrahmanyam, Avanidhar - In: The review of financial studies 20 (2007) 3, pp. 709-740

Persistent link: https://www.econbiz.de/10003554621

Common liquidity shocks and market collapse : lessons from the market for perps

Fernando, Chitru S.; Herring, Richard J.; Subrahmanyam, … - In: Journal of banking & finance 32 (2008) 8, pp. 1625-1635

Persistent link: https://www.econbiz.de/10003749393

Order imbalances and market efficiency : evidence from the Taiwan stock exchange

Lee, Yi-tsung; Liu, Yu-jane; Roll, Richard; … - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 2, pp. 327-341

Persistent link: https://www.econbiz.de/10002103632

The determinants of average trade size

Brennan, Michael J. - In: The journal of business : B 71 (1998) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10001233463

Investor psychology and security market under- and overreactions

Daniel, Kent - In: The journal of finance : the journal of the American … 53 (1998) 6, pp. 1839-1885

Persistent link: https://www.econbiz.de/10001251919

Order flow volatility and equity costs of capital

Chordia, Tarun; Hu, Jianfeng; Subrahmanyam, Avanidhar; … - In: Management science : journal of the Institute for … 65 (2019) 4, pp. 1520-1551

Persistent link: https://www.econbiz.de/10012022640