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Essays in empirical asset pricing and international finance

Niu, Zilong - 2020

Persistent link: https://www.econbiz.de/10012172860

The long of it : odds that investor sentiment spuriously predicts anomaly returns

Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu - In: Journal of financial economics 114 (2014) 3, pp. 613-619

Persistent link: https://www.econbiz.de/10010532685

Time-series efficient factors

Ehsani, Sina; Linnainmaa, Juhani - 2020

Factors in prominent asset pricing models are positively autocorrelated. We derive a transformation that turns an autocorrelated factor to a ``time-series efficient'' factor. Time-series efficient factors earn significantly higher Sharpe ratios than the original factors and contain all the...

Persistent link: https://www.econbiz.de/10012244867

Sentiment asset pricing model with consumption

Yang, Chunpeng; Zhang, Rengui - In: Economic modelling 30 (2013), pp. 462-467

Persistent link: https://www.econbiz.de/10009708902

Higher order expectations in sentiment asset pricing model

Yang, Chunpeng; Cai, Chuangqun - In: Economic modelling 39 (2014), pp. 95-100

Persistent link: https://www.econbiz.de/10010419984

Behavioural asset pricing : a review

Nanayakkara, N. S.; Pulukkuttige Don Nimal; Banda, Y. … - In: International journal of economics and financial issues … 9 (2019) 4, pp. 101-108

Persistent link: https://www.econbiz.de/10012150122

Market sentiment and paradigm shifts

Chu, Liya; He, Xue-zhong; Li, Kai; Tu, Jun - 2015

Persistent link: https://www.econbiz.de/10011344305

News sentiment indicators and the cross‐section of stock returns in the European stock market

Gambarelli, Luca; Muzzioli, Silvia - 2022

Persistent link: https://www.econbiz.de/10013258704

International sentiment spillovers in equity returns

Bathia, Deven; Bredin, Donal; Nitzsche, Dirk - In: International journal of finance & economics : IJFE 21 (2016) 4, pp. 332-359

Persistent link: https://www.econbiz.de/10011698788

Gambling preference and individual equity option returns

Byun, Suk Joon; Kim, Da-Hea - In: Journal of financial economics 122 (2016) 1, pp. 155-174

Persistent link: https://www.econbiz.de/10011590896

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