This paper provides a model to interpret the relative behavior of expected returns of high- and low-resilience assets from the time of the COVID-19 pandemic, including a novel definition of disaster based on COVID-19 intensity. The setup allows us to disentangle the probability of disaster and...

Forward-looking metrics of uncertainty based on options-implied information should be highly predictive of equity market returns in accordance with asset pricing theory. Empirically, however, the ability of the VIX, for example, to predict returns is statistically weak. In contrast to other...

Using a customized survey and an information-provision experiment, we establish that loan officers' individual subjective expectations about inflation, GDP growth, and policy rates vary substantially within and across bank types and have a sizable causal effect on credit supply decisions....

Despite decades of global attention, effective climate policy implementation remains challenging, with firms and investors often grappling with uncertainty about potential policymaking in addition to actual policy changes. This paper introduces a novel Climate Policy Uncertainty (CPU) index,...

Purpose This paper aims to analyze the connectedness between Gulf Cooperation Council (GCC) stock market index and cryptocurrencies. It investigates the relevant impact of RavenPack COVID sentiment on the dynamic of stock market indices and conventional cryptocurrencies as well as their Islamic...

Purpose This study aims to analyse the effects of Economic Policy Uncertainty (EPU) on the return of growth/value and small/large-cap stocks during expansionary and recessionary periods across a conditional distribution. Design/methodology/approach The authors selected a sample covering the...

Information is incorporated into stock prices when investors trade; consequently, prices respond only to the information investors pay attention to. Because market efficiency requires rapid information dissemination and fully informative prices, attention necessarily affects the level of market...

This paper investigates the relationship between aggregate market herding and investor attention in seven selected equity markets over the period of 2004-2019. The multinomial logistic regression employed in this study provides a more direct, comprehensive, and straightforward test than other...

We demonstrate the asset pricing implications of investors' belief heterogeneity in the frequency of news arrival and its joint impact with heterogeneous beliefs about news content. Investors trade volatility derivatives against each other to speculate on the rate of news arrival: greater...

We revisit the puzzle of limited stock market participation using qualitative methods common in other social sciences but rare in economics. Through in-depth interviews with investors and non-investors in Germany—a high-income country with low market participation—we elicit open-ended...

The primary objective of this study is to explore the dynamic relationships between equity returns or volatility and sentiment factors in European markets during both the periods preceding the COVID-19 pandemic, the COVID-19 itself, and the Russia-Ukraine war. We achieve this by applying the...

This study investigates the relationship between overconfidence and meme stock valuation, drawing on panel data from 28 meme stocks listed from 2019 to 2024. The analysis incorporates key financial indicators, including Tobin's Q ratio, market capitalization, return on assets, leverage, and...

Behavioral risk management is an increasingly important consideration in investment strategies, as research has shown that investor psychology can significantly impact portfolio performance. This study examines how psychological variables influence investing choices and the effects that these...

Financial studies on the herding effect have been very popular for decades, as detecting herding behavior helps to explain price deviations and market inefficiencies. However, studying the herding effect as a single influencing factor is believed to be insufficient to explain the changes in...