considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical …

considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical …

considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical …

considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical …

returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests … inherent cause of predictability differs across groups. Research limitations/implications The authors present empirical … evidence which may be used to attain a deeper understanding of the links between predictability and market efficiency, in view …

behavioral bias is strongly time-varying, and is linked to equity market sentiment and higher moments of the risk-neutral density …-of-sample tests on reversal prediction show that our IV-sentiment measure adds value over and above traditional factors in the equity …

that this behavioral bias is strongly time-varying, linked to equity market sentiment, and higher moments of the risk … investors' overweight of tail events the best. Our findings also suggest that IV-sentiment predicts equity markets reversals … on reversal prediction show that our IV-sentiment measure adds value over and above traditional factors in the equity …