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Bonaparte, Yosef; Korniotis, George M.; Bohara, Alok Kumar - In: Journal of financial economics 113 (2014) 2, pp. 300-324

Persistent link: https://www.econbiz.de/10010479538

Do hedge funds dynamically manage systematic risk?

Namvar, Ethan; Phillips, Blake; Kuntara Pukthuanthong; … - In: Journal of banking & finance 64 (2016), pp. 1-15

Persistent link: https://www.econbiz.de/10011634227

(Presentation Slides) Investor Overconﬁdence, Covariance Risk, and Predictors of Securities Returns

Daniel, Kent D. - 2018

Presentation Slides for "Overconfidence, Arbitrage, and Equilibrium Asset Pricing" This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are...

Persistent link: https://www.econbiz.de/10012918741

Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Buffa, Andrea M - 2018

We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital...

Persistent link: https://www.econbiz.de/10012910534

Investor sentiment, extrapolation and asset pricing

Wu, Huihui; Yang, Chunpeng - In: Romanian journal of economic forecasting 25 (2022) 4, pp. 182-205

Persistent link: https://www.econbiz.de/10013532000

Reversal evidence from investor sentiment in international stock markets

Ahn, Keunbae; Hambusch, Gerhard - In: International review of finance : the official journal … 24 (2024) 3, pp. 415-448

Persistent link: https://www.econbiz.de/10015135484

Measuring the effects of geographical distance on stock market correlation

Eckel, Stefanie Martina; Löffler, Gunter; Maurer, Alina; … - In: Journal of empirical finance 18 (2011) 2, pp. 237-247

Persistent link: https://www.econbiz.de/10009301123

Fear and closed-end fund discounts

Anderson, Seth C.; Beard, Thomas Randolph; Kim, Hyeongwoo; … - In: Applied economics letters 20 (2013) 10/12, pp. 953-956

Persistent link: https://www.econbiz.de/10010195346

Asset pricing with heterogeneous investors and portfolio constraints

Chabakauri, Georgy - 2012

Persistent link: https://www.econbiz.de/10009619941

Investor sentiment, flight-to-quality, and corporate bond comovement

Bethke, Sebastian; Kempf, Alexander; Gehde-Trapp, Monika - 2014 - This version: August 28, 2014

We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond … correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … reflecting time-varying flight-to-quality behavior of investors. We show that risk factor correlation increases when investor …

Persistent link: https://www.econbiz.de/10010403525