The security market line (SML) accords with the capital asset pricing model (CAPM) by taking on an upward slope in pessimistic sentiment periods, but is downward sloping during optimistic periods. We hypothesize that this finding obtains because periods of optimism attract equity investment by...

We consider whether sentiment affects the profitability of momentum strategies. We hypothesize that news that contradicts investors’ sentiment causes cognitive dissonance, slowing the diffusion of such news. Thus, losers (winners) become underpriced under optimism (pessimism). Short-selling...

How do exchange-traded funds (ETFs) influence real investment policies? We find that ETF ownership is associated with an increase in the sensitivity of real investment to Tobin's q. This implies a managerial learning channel, wherein higher ETF ownership increases price informativeness about...

Behavioural Finance relaxes the neoclassical assumption that investors consistently apply Bayes Rule when updating their expectations, and identifies the behavioural attributes that affect asset prices. This thesis extends this literature by examining deviations from the Bayesian model that...

In the context of the SustainCity project (www.sustaincity.eu), three European cities (Brussels, Paris and Zurich) will be modelled using the land use microsimulation platform UrbanSim. This platform relies on various models interacting with each other, to predict long-term urban development....