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X-CAPM : an extrapolative capital asset pricing model
Barberis, Nicholas; Greenwood, Robin; Jin, Lawrence; … - In: Journal of financial economics 115 (2015) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011327273
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Expectations-Based Reference-Dependent Preferences and Asset Pricing
Pagel, Michaela - Volkswirtschaftliche Fakultät, … - 2012
This paper incorporates expectations-based reference-dependent preferences into the canonical Lucas-tree asset …-pricing economy. Expectations-based loss aversion increases the equity premium and decreases the consumption-wealth ratio, because … returns, and predictability. The level and variation in the equity premium and the predictability in returns match historical …
Persistent link: https://www.econbiz.de/10011107734
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Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India
Hiremath, Gourishankar S; Kumari, Jyoti - Volkswirtschaftliche Fakultät, … - 2014
This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...
Persistent link: https://www.econbiz.de/10011113081
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Stock Returns Predictability and the Adaptive Market Hypothesis: Evidence from India
Hiremath, Gourishankar S; Kumari, Jyoti - Volkswirtschaftliche Fakultät, … - 2013
The present paper evaluates whether the adaptive market hypothesis provides a better description of the behavior of Indian stock market using daily values of Sensex and Nifty, the two major indices of India from January 1991 to April 2013. We employed linear and nonlinear methods to evaluate the...
Persistent link: https://www.econbiz.de/10011113613
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Gambling, risk appetite and asset pricing
de Carvalho, Carlos Viana; Cordeiro, Daniel; Ribeiro, … - 2018
Persistent link: https://www.econbiz.de/10011933957
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Commonality in individuals' trading: A systematic path between behavioral bias and expected returns
Chae, Joon; Yang, Cheol-Won - In: Pacific-Basin Finance Journal 21 (2013) 1, pp. 1008-1023
. Additionally, we find evidence that commonality in individual trading predicts future stock returns, and its' predictability is …
Persistent link: https://www.econbiz.de/10010693374
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Gambling, risk appetite and asset pricing
Carvalho, Carlos Viana de; Cordeiro, Daniel; Ribeiro, … - 2018 - This version: March 2018
A measure of the propensity to gamble in casinos constructed without any asset price data provides relevant information for asset pricing. This measure of risk appetite improves the fit of conditional asset pricing models such as the conditional CAPM, explains crosssectional differences in...
Persistent link: https://www.econbiz.de/10011817098
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Financial transaction taxes : announcement effects, short-run effects, and long-run effects
Eichfelder, Sebastian; Lau, Mona - 2016 - Version: October 2016
liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …
Persistent link: https://www.econbiz.de/10011550386
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Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies
Petukhina, Alla A.; Reule, Raphael C. G.; Härdle, … - 2019
study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of … trading patterns lead to a new view on approaching the predictability of economic value in this new digital market. …
Persistent link: https://www.econbiz.de/10012433234
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Financial transaction taxes: Announcement effects, short-run effects, and long-run effects
Eichfelder, Sebastian; Lau, Mona - 2016
liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …
Persistent link: https://www.econbiz.de/10011557919