Similar Search Results

Short-run momentum, long-run mean reversion and excess volatility : an elementary housing model

Schmitt, Noemi; Westerhoff, Frank H. - In: Economics letters 176 (2019), pp. 43-46

Persistent link: https://www.econbiz.de/10012121226

Large bets and stock market crashes

Kyle, Albert S.; Obižaeva, Anna - 2020

Persistent link: https://www.econbiz.de/10012494212

Can heterogeneous agent models explain the alleged mispricing of the S&P 500?

Lux, Thomas - 2020

Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most …

Persistent link: https://www.econbiz.de/10012214509

Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading

Leal, Sandrine Jacob; Napoletano, Mauro - In: Journal of economic behavior & organization : JEBO 157 (2019), pp. 15-41

Persistent link: https://www.econbiz.de/10012138458

Sand in the wheels or wheels in the sand? : Tobin taxes and market crashes

Lavička, Hynek; Lichard, T.; Novotný, Jan - In: International review of financial analysis 47 (2016), pp. 328-342

Persistent link: https://www.econbiz.de/10011624246

The value of item response theory in invariance testing

Martins, Nico - In: The journal of applied business research 32 (2016) 6, pp. 1843-1869

Persistent link: https://www.econbiz.de/10011627934

Modeling speculative bubbles with diverse investor expectations

Phillips, Peter C. B. - In: Research in economics : an international review of economics 70 (2016) 3, pp. 375-387

Persistent link: https://www.econbiz.de/10011631179

The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes

Chong, Terence Tai-Leung; Wang, Xiaolei - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 75-93

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

Persistent link: https://www.econbiz.de/10011556115

How crashes develop : intradaily volatility and crash evolution

Bates, David S. - 2016

Persistent link: https://www.econbiz.de/10011451109

Market stability vs. market resilience : regulatory policies experiments in an agent based model with low- and high-frequency trading

Jacob Leal, Sandrine; Napoletano, Mauro - 2016

-post and ex-ante types), of cancellation fees and of transaction taxes on asset price volatility and on the occurrence and … volatility and the frequency of flash crashes. However, these policies also imply a longer duration of flash crashes. Furthermore …, the introduction of an ex-ante circuit breaker markedly reduces price volatility and removes flash crashes. In contrast …

Persistent link: https://www.econbiz.de/10011457384