We develop an asset market participation model in which investors base their market entry decisions on the momentum, value and risk of the market. Despite our behavioral framework, the model’s fundamental steady state is characterized by standard present-value relations between expected future...

Purpose - The study considers time-varying risk premium in investigating the capability of technical analysis (TA) to predict and outperform a buy-hold strategy in Bitcoin exchange rate returns. Design/methodology/approach - The study tests the technical trading rule of fixed moving average...

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was...

We adopt the cross-sectional absolute deviation model (CSAD) to test the herding behavior of ChiNext, a decade-old NASDAQ-style stock market in China, based on its stocks from 2015-2019. Our findings show that the herding behavior is prevalent, implying that such behavior is widespread in a...

This paper examines the association between stock market return expectations and financial wealth holdings of older adults using the 2016 wave of the Health and Retirement Study. Our study finds that less than 30% of individuals assigned a greater than 50% probability that the market will earn a...

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high...

Using data for about 50,000 actual household investment accounts, we document that financial advice reduced investors’ tendency to leave the stock market during the market crash of 2008 and had a positive correlation with their decisions to return to the market. In addition, we provide a...

Most technical trading strategies use the official closing price for analysis. But what is the effect when the official closing price is subject to market manipulation? This paper answers this question by testing the difference of profitabilities between using the official closing price and the...

Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad...

This paper studies static rational inattention problems with multiple actions and multiple shocks. We solve for the optimal signals chosen by agents and provide tools to interpret information processing. By relaxing restrictive assumptions previously used to gain tractability, we allow agents...

Exploiting a representative sample of the French population by age, wealth, and asset classes, we document novel facts about their expectations and perceptions of stock market returns. Both expectations and perceptions of returns are very dispersed, significantly lower than their data...

The redistribution of resources in global stock markets is prevalent: the capital is transferred from one investor to another. Sometimes, earning a substantial return in the stock market seems complicated to implement for an individual investor. Investing contributes to the welfare of society...

This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short...

This paper investigates the role of investor attention in forecasting realized volatility for fourteen international stock markets, by means of Google Trends data, over the sample period January 2004 through November 2021. We devise an augmented Empirical Similarity model that combines three...

The lack of agreement on climate policies among stock-market investors has raised significant concerns about GHG-emission levels, likely reflected in asset pricing. This study uses annual data sourced from the World Bank from 1980 to 2019 to examine whether stock-market investments increase GHG...

Capital market research usually focuses on the investment decision of a risk-averse investor, who determines the relationship between risky assets and risk-free investment. Furthermore, numerous capital market models assume normally distributed security returns and rational investors. In this...

Adaptive online platforms, powered by artificial intelligence, commonly referred to as robo-advice, steadily increase their market share. Yet these comparably new financial services are critically understudied. Little is known about why some investors adopt robo-advice for something as essential...

This study investigates the effect on nonprofessional investors' judgements and decisions of discretionary measurement choices. Using a paper-and-pencil experience, we collect and analyze information regarding investment amounts as well as past and future financial performance judgements of...

We analyze the interaction between management and investors during Chinese IPO roadshows through Jaccard Similarity analysis of written Chinese logograms. We provide evidence that when agreement is high, investor optimism increases, leading to relatively large first-day underpricing. We further...

This study examines the relationship between corporate managers' political ideology and corporate leverage policies conditional on investor sentiment. Based on a minimum of 21,884 observations over the 1992-2008 period, the authors show that Republican managers significantly reduce leverage...

This paper examines the relationship between generational differences, risk tolerance, and attitudes towards financial investments in a nationally representative sample from the United States of America. The sample consists of pooled cross-sectional data of three waves (2012-2018) and 80,000...

The behavioural finance literature attributes the persistent market misvaluation observed in real data to the presence of deviations from rational thinking of the actors involved. Cognitive biases and the use of simple heuristics can be described using expected utility maximising agents that...