Purpose: This article deals with the retail investors' decision-making under risk, firstly addressing several theories of decision-making under risk. Following this theoretical framework, an analysis on investment strategies on the Croatian capital market has been conducted....

Nowadays, there is a growing interest in the application of quantitative methods in portfolio management, as the results of their application can be used as guidelines for managing a successful investment portfolio, i.e., a portfolio that outperforms the market. This paper deals with the Data...

Modern portfolio theory is one of the most important investment decision tools in finances. In 1952 Harry Markowitz set the foundations of the Modern portfolio theory, since than this theory was a backbone of many studies that dealt with investment decisions. This research applies mean-variance...

Modern portfolio theory is one of the most important investment decision tools in finances. In 1952 Harry Markowitz set the foundations of the Modern portfolio theory, since than this theory was a backbone of many studies that dealt with investment decisions. This research applies mean-variance...

The half-life is used to estimate the adjustment speed of a variable to a new equilibrium point after being affected by the impulse response of a unit of shocks. The paper examines the adjustment speed of COVID19, investor sentiment, and the stock market through half-life estimates over the...

We form a belief-based equity market sentiment index, BBS, from investors' survey-based expectations of future aggregate stock returns. BBS spans 54 years, accommodates belief heterogeneity across different investor types, and accounts for variation in the participation of these investors in the...

We examine the impact of Seasonal Affective Disorder (SAD) on financial analysts. We hypothesize and find that analysts are more pessimistic, less precise, and more asymmetric in their boldness in the fall, as indicated by their forecasts of quarterly earnings. The effects are apparent in all...

I find that returns are predictably negative for several months after the onset of recessions, and only become high thereafter. I identify business-cycle turning points by estimating a state-space model using macroeconomic data. Conditioning on the business cycle further reveals that returns...

To study how investor sentiment at the firm level affects stock returns, we match more than 58 million social media messages in China with listed firms and construct a measure of individual stock sentiment based on the tone of those messages. We document that positive investor sentiment predicts...

This study cross-checks the symmetric and asymmetric effects of investor’s optimistic and pessimistic sentiments of Bitcoin on 23 sectoral stock return indices (10 Islamic stock sectoral indices and one composite Islamic market index by Dow Jones Islamic market and 12 industrial indices by...