Fung, Eric S.; Lam, Kin; Siu, Tak-Kuen; Wong, Wing-Keung - In: Journal of Risk and Financial Management 4 (2011) 1, pp. 43-73
shocks and stock prices. In response to the recent global financial crisis, we introduce a new pseudo-Bayesian model to … incorporate the impact of a financial crisis. Properties of stock returns during the financial crisis and recovery from the crisis …-term underreaction, long-term overreaction, and excess volatility during financial crisis. We also explain in some detail the linkage …