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Two Trees with Heterogeneous Beliefs : Spillover Effect of Disagreement
Han, Bing - 2017
In a model where investors disagree about the fundamentals of two stocks, the state price density depends on investor disagreements for both stocks, especially the larger stock. This implies that disagreement among investors in a large firm has a spillover effect on the pricing of other stocks...
Persistent link: https://www.econbiz.de/10012972769
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Political heterogeneity, subjective optimism, and stock market outcomes
Bonaparte, Yosef; Christie-David, Rohan; Koslowsky, David - In: Applied economics 54 (2022) 13, pp. 1487-1506
Persistent link: https://www.econbiz.de/10012875387
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Conditional heteroskedasticity in the volatility of asset returns
Ding, Yashuang - 2021
Persistent link: https://www.econbiz.de/10013262866
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Can the variance after-effect distort stock returns?
Berrada, Tony - 2021
predictive variance. We show theoretically how this adjustment factor affects both average and volatility of excess returns. We … related to excess volatility as predicted by the model. Further confirming the model's implications, we also show how stock …
Persistent link: https://www.econbiz.de/10012487731
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Monetary policy uncertainty and jumps in advanced equity markets
Bouri, Elie; Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Journal of risk 23 (2020/2021) 1, pp. 101-112
Persistent link: https://www.econbiz.de/10012500112
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A global-optimal portfolio theory beyond the R-σ model
Liua, Yifan; Liang, Shi-Dong - In: Frontiers of economics in China : selected publications … 15 (2020) 1, pp. 124-139
Persistent link: https://www.econbiz.de/10012227506
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Forecasting portfolio balance using return mean, standard deviation and spending
Haber, Jeffry R.; Braunstein, Andrew W. - In: International journal of financial research 7 (2016) 2, pp. 98-121
Persistent link: https://www.econbiz.de/10011572741
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An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns
Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55
Persistent link: https://www.econbiz.de/10011583531
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How is β related to asset returns?
Bollen, Bernard; Gharghori, Philip - In: Applied economics 48 (2016) 19/21, pp. 1925-1935
Persistent link: https://www.econbiz.de/10011590029
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The excess returns puzzle : interactions with information asymmetry variables
Jain, Ajeet; Strobl, Sascha - In: The international journal of finance 27 (2015) 3, pp. 334-352
Persistent link: https://www.econbiz.de/10011691297