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Risk aversion, investor information and stock market volatility
Lansing, Kevin J.; LeRoy, Stephen F. - In: European economic review : EER 70 (2014), pp. 88-107
Persistent link: https://www.econbiz.de/10010496407
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The financial origins of non-fundamental risk
Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R. - 2022 - Last updated: January 14, 2022
against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices …
Persistent link: https://www.econbiz.de/10012798791
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The memory of stock return volatility : asset pricing implications
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - In: Journal of financial markets 47 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012631778
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Endogenous participation, risk, and learning in the stock market
Shin, Michael - In: Macroeconomic dynamics 26 (2022) 3, pp. 649-681
Persistent link: https://www.econbiz.de/10013187241
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Forecasting stock market volatility : can the risk aversion measure exert an important role?
Dai, Zhifeng; Chang, Xiaoming - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10013188175
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What to expect when everyone is expecting : self-fulfilling expectations and asset-pricing puzzles
Garleanu, Nicolae; Panageas, Stauros - In: Journal of financial economics 140 (2021) 1, pp. 54-73
Persistent link: https://www.econbiz.de/10013188569
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Implied volatility duration : a measure for the timing of uncertainty resolution
Schlag, Christian; Thimme, Julian; Weber, Rüdiger - In: Journal of financial economics 140 (2021) 1, pp. 127-144
Persistent link: https://www.econbiz.de/10013188678
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Investigating the drivers of international comovement in real financial asset returns
McKinnon, Kate - 2019
Persistent link: https://www.econbiz.de/10012224630
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Investor sentiment and aggregate volatility pricing
Labidi, Chiraz; Yaakoubi, Soumaya - In: The quarterly review of economics and finance : journal … 61 (2016), pp. 53-63
Persistent link: https://www.econbiz.de/10011627506
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On variance bounds for asset price changes
Lansing, Kevin J. - In: Journal of financial markets 28 (2016), pp. 132-148
Persistent link: https://www.econbiz.de/10011722241