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Omori, Kozo - In: Public policy review 9 (2013) 3, pp. 491-513

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Asset pricing with heterogeneous beliefs and relative performance

Huang, Shiyang; Qiu, Zhigang; Shang, Qi; Tang, Ke - In: Journal of banking & finance 37 (2013) 11, pp. 4107-4119

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An international capital asset pricing model with heterogeneous expectations

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Asset pricing with heterogeneous investors and portfolio constraints

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The unexplainable nature of momentum portfolio returns

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The effects of sentiment on market return and volatility and the cross-sectional risk premium of sentiment-affected volatility

Yang, Yan; Copeland, Laurence S. - 2014

We construct investor sentiment of UK stock market using the procedure of principal component analysis. Using sentiment-augmented EGARCH component model, we analyse the impacts of sentiment on market excess return, the permanent component of market volatility and the transitory component of...

Persistent link: https://www.econbiz.de/10010380934

An empirical study on investors’ preferences for liquid assets

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Valuarion bias and profit opportunities in financial markets

Gokhale, Jayendra; Schroeder, Elizabeth; Tremblay, Victor J. - In: International journal of economics and finance 6 (2014) 4, pp. 147-156

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Two-period trading sentiment asset pricing model with information

Yang, Chunpeng; Li, Jinfang - In: Economic modelling 36 (2014), pp. 1-7

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