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Forecasting stock market volatility : can the risk aversion measure exert an important role?
Dai, Zhifeng; Chang, Xiaoming - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10013188175
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The new finance : overreaction, complexity, and uniqueness
Haugen, Robert A. - 2004 - 3. ed.
Persistent link: https://www.econbiz.de/10001786555
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Risk aversion, market liquidity, and price efficiency
Subrahmanyam, Avanidhar - In: The review of financial studies 4 (1991) 3, pp. 417-441
Persistent link: https://www.econbiz.de/10001329867
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Forholdet mellom risiko og avkastning : selskapstørrelse- og kalendereffekter p°a Oslo Børs
Instefjord, Norvald - In: Beta : tidsskrift for bedriftsøkonomi 4 (1990) 1, pp. 26-35
Persistent link: https://www.econbiz.de/10001087820
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Risk aversion, uncertain information, and market efficiency
Brown, Keith C. - In: Journal of financial economics 2 (1988), pp. 355-385
Persistent link: https://www.econbiz.de/10001061823
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Preannnouncement with strategic speculators
Rindi, Barbara - In: Rivista internazionale di scienze economiche e … 44 (1997) 2, pp. 241-268
Persistent link: https://www.econbiz.de/10001224257
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Trading on sunspots
Jovanovic, Boyan; Tsyrennikov, Viktor - 2014
Persistent link: https://www.econbiz.de/10010481203
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Disagreement, Speculation, and the Idiosyncratic Volatility
Jiang, Ying; Pan, Jiening; Wang, Jianqiu; Wu, Ke - 2021
We propose that speculative trading arising from the joint effect of investor disagreement and short-sale constraints plays an important role in explaining the idiosyncratic volatility (IVOL) puzzle, the correlation among IVOL, market beta and trading volume, and the co-movement of IVOL....
Persistent link: https://www.econbiz.de/10013234143
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Trading on sunspots
Jovanovic, Boyan; Tsyrennikov, Viktor - In: American economic review 112 (2022) 12, pp. 3970-3994
Persistent link: https://www.econbiz.de/10014229440