Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model
David W. Johnk; Gökçe Soydemir
| Year of publication: |
2015
|
|---|---|
| Authors: | Johnk, David W. ; Soydemir, Gökçe A. |
| Published in: |
The journal of behavioral finance : a publication of the Institute of Behavioral Finance. - Abingdon : Routledge, ISSN 1542-7560, ZDB-ID 2110458-X. - Vol. 16.2015, 2, p. 105-119
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| Subject: | Investor sentiment | GARCH | Conditional CAPM | Time-varying betas | Irrational investor sentiment | Market price of risk | CAPM | ARCH-Modell | ARCH model | Anlageverhalten | Behavioural finance | Betafaktor | Beta risk | Risikoprämie | Risk premium | Theorie | Theory | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011333691