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The impact of US individual and institutional investor sentiment on foreign stock markets

Verma, Rahul; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 7 (2006) 3, pp. 128-144

Persistent link: https://www.econbiz.de/10003384605

Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model

Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119

Persistent link: https://www.econbiz.de/10011333691

The impact of rational and irrational sentiments of individual and institutional investors on DJIA and S&P500 index returns

Verma, Rahul; Baklaci, Hasan; Soydemir, Gökçe A. - In: Applied financial economics 18 (2008) 16/18, pp. 1303-1317

Persistent link: https://www.econbiz.de/10003779380

The impact of individual and institutional investor sentiment on the market price of risk

Verma, Rahul; Soydemir, Gökçe A. - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 1129-1145

Persistent link: https://www.econbiz.de/10003873855

Investor Behavior, Hedge Fund Returns and Strategies

Bello, Andres - 2011

We quantify risks associated with investor behavior using several asset pricing models and hedge fund data. After finding that irrational sentiments play a role in hedge fund returns, our multi-beta CAPM estimations reveal that beta belonging to irrational component varies around .037 for risky...

Persistent link: https://www.econbiz.de/10013120230