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Overconfidence, Sentiment and Beta Herding : A Behavioral Explanation of the Low-Beta Anomaly

Hwang, Soosung - 2020

We investigate asset returns using the concept of beta herding, which measures cross-sectional variations in betas induced by investors whose beliefs about the market are biased due to changes in confidence or sentiment. Overconfidence or optimistic sentiment causes beta herding (compression of...

Persistent link: https://www.econbiz.de/10012851704

Beta herding through overconfidence : a behavioral explanation of the low-beta anomaly

Hwang, Soosung; Rubesam, Alexandre; Salmon, Mark - In: Journal of international money and finance 111 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012796878

Margins and the safety of clearing houses

Gemmill, Gordon - In: Journal of banking & finance 18 (1994) 5, pp. 979-996

Persistent link: https://www.econbiz.de/10001174018

Options pricing : an international perspective

Gemmill, Gordon - 1993

Persistent link: https://www.econbiz.de/10013469153

Error correction models, co-integration and the internal model principle

Salmon, Mark H. - 1988

Persistent link: https://www.econbiz.de/10000761633

Error correction models, cointegration and the internal model principle

Salmon, Mark H. - In: Journal of economic dynamics & control 12 (1988) 2, pp. 199-607

Persistent link: https://www.econbiz.de/10001269080

Modelling the probability of UK housing market events (crashes) using extreme value theory

Salmon, Mark H. - 2004

Persistent link: https://www.econbiz.de/10008826669

Bounded rationality and learning : procedural learning

Salmon, Mark H. - 1994

Persistent link: https://www.econbiz.de/10013420380

The effects of systematic sampling and temporal aggregation on discrete time long memory processes and their finite sample properties

Hwang, Soosung - In: Econometric theory 16 (2000) 3, pp. 347-372

Persistent link: https://www.econbiz.de/10001507491

Commodity-indexed debt

Gordon, Kathryn M. - In: The Columbia journal of world business : publ. … 23 (1988) 4, pp. 57-61

Persistent link: https://www.econbiz.de/10001086834

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