We measure bond and stock conditional return volatility as a function of changes in sentiment, proxied by six indicators from the Tel Aviv Stock Exchange. We find that changes in sentiment affect conditional volatilities at different magnitudes and often in an opposite manner in the two markets,...

We measure bond and stock conditional return volatility as a function of changes in sentiment, proxied by six indicators from the Tel Aviv Stock Exchange. We find that changes in sentiment affect conditional volatilities at different magnitudes and often in an opposite manner in the two markets,...

Asset pricing models with atomistic agents typically relax assumptions concerning rationality and/or homogenous information in order to track endogenous bubbles. In this model, identically informed rational agents hold a Perceived Law of Motion (PLM) for a single new technology asset at IPO, yet...

This paper presents an equity market where the value of a new technology is infrequently observable while the equity claim of the asset is continuously traded. We clear the stock market between two optimal asset allocation strategies, speculative vs. fundamental, adopted by risk-averse investors...

This study proposes a novel structured product (SP) among the basket of financial products sold to pension fund members. The product offers to hedge defined contribution (DC) pension portfolio members against capital market risk. Based on trading risk-free government bonds and call options on a...

This study proposes a novel structured product (SP) among the basket of financial products sold to pension fund members. The product offers to hedge defined contribution (DC) pension portfolio members against capital market risk. Based on trading risk-free government bonds and call options on a...