This study investigates the explanatory power of the clean surplus versus prospect theory valuation models. Literature argues that prospect theory and traditional capital market approaches are consistent from a theoretical perspective (Levy, De Giorgi and Hens 2012) . A comprehensive empirical...

This paper studies whether and how the central bank should prick asset price bubbles, if the effect of interest rate policy on bubbles can significantly vary across periods. For this purpose, I first construct a financial accelerator model with an agent-based financial market that can...

We investigate whether the extraordinary rise in the participation of retail investors in equity markets during the COVID-19 pandemic, increases the demand for information. Using Google search data for individual stocks, we show that contrary to expectations, investor search for information is...

It is uncanny that historically, the large majority of U.S. market crashes have occurred in the month of October. I assert that three key conditions are gathered for this to happen. 1) There is a market-wide or macroeconomic informational ambiguity that has been lingering since before the summer...

Despite their incredible popularity and importance to modern capital markets, exchange traded funds (ETFs) are extremely difficult to compare side-by-side. Investors who successfully navigate the initial challenges of product choice overload, and opaque index construction methodology, soon...

This study is the first to document the impact of news sentiment on different classes of assets' returns (stocks, bonds, oil, natural gas, gold, commodities, and foreign exchange rate) during the COVID-19 pandemic. By using time-varying causality test, we find that the causality running from...

This paper analyses the impact of the coronavirus pandemic on the share prices of gold firms, whose activities are spread across gold exploration, project development and gold mining with markedly different risk characteristics. We find evidence for COVID-induced stock market contagion leading...

We apply the sequential unit root tests of Phillips et al. (2015) for mildly explosive processes to identify and date-stamp bubbles in the emerging and frontier African stock markets. We find periods of explosive behavior in the price–dividend ratio in several markets which is indicative of...

The sharp drop and subsequent rebound in global stock markets in the current pandemic focuses attention on changes in investors' risk attitudes. A new COVID-19 risk attitude (CRA) index for 61 markets, based on internet searches in Google and Baidu, does a good job at capturing investors'...

This editorial, which mirrors Bruce Jacobs's book Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes, finds that “free-lunch” strategies and products that promise to increase returns while reducing risk can attract substantial investments and...