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Learning from the experience in the stock market

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Saving based asset pricing models : a contribution to the solution of the equity premium puzzle

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Temporary price deviation, limited attention and information acquisition in the stock market

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Modelling asset prices for algorithmic and high-frequency trading

Cartea, Álvaro; Jaimungal, Sebastian - In: Applied mathematical finance 20 (2013) 5/6, pp. 512-547

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Attempt to resolve the momentum effect enigma : proposition of investors' progressive rationality

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Investor naïveté and asset prices

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Asset pricing with heterogeneous beliefs and relative performance

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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...

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Momentum and macroeconomic state variables

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