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Behavioral Capital Asset Pricing Theory

Citations

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Cited by:

  1. Das, Prashant & Füss, Roland & Hanle, Benjamin & Russ, Isabel Nina, 2020. "The cross-over effect of irrational sentiments in housing, commercial property, and stock markets," Journal of Banking & Finance, Elsevier, vol. 114(C).
  2. Monika Bolek & Rafal Wolski, 2019. "Irrationality of Investment Funds Managers in the Light of Available Information – Case of Poland," Proceedings of the 12th International RAIS Conference, April 3-4, 2019 4WB, Research Association for Interdisciplinary Studies.
  3. Ukhov, Andrey D., 2006. "Expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 3(3), pages 194-206, September.
  4. Wang, Wenzhao & Duxbury, Darren, 2021. "Institutional investor sentiment and the mean-variance relationship: Global evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 415-441.
  5. Degeorge, Francois & Jenter, Dirk & Moel, Alberto & Tufano, Peter, 2004. "Selling company shares to reluctant employees: France Telecom's experience," Journal of Financial Economics, Elsevier, vol. 71(1), pages 169-202, January.
  6. Tarek Coury & Emanuela Sciubba, 2012. "Belief heterogeneity and survival in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 49(1), pages 37-58, January.
  7. Evan W. Anderson & Eric Ghysels & Jennifer L. Juergens, 2005. "Do Heterogeneous Beliefs Matter for Asset Pricing?," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 875-924.
  8. Gürtler, Marc & Hartmann, Nora, 2003. "Behavioral dividend policy," Working Papers FW04V1, Technische Universität Braunschweig, Institute of Finance.
  9. Liu Yuan & Shang Yan & Shi Jianming & Wang Shouyang, 2016. "A New Investor Sentiment Indicator Based on Return Decomposition," Journal of Systems Science and Information, De Gruyter, vol. 4(2), pages 121-130, April.
  10. Terrance Odean., 1996. "Volume, Volatility, Price and Profit When All Trader Are Above Average," Research Program in Finance Working Papers RPF-266, University of California at Berkeley.
  11. Emanuela Sciubba, 2006. "The evolution of portfolio rules and the capital asset pricing model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 29(1), pages 123-150, September.
  12. Mehmet Balcilar & Rangan Gupta & Clement Kyei, 2018. "Predicting Stock Returns And Volatility With Investor Sentiment Indices: A Reconsideration Using A Nonparametric Causality†In†Quantiles Test," Bulletin of Economic Research, Wiley Blackwell, vol. 70(1), pages 74-87, January.
  13. Barna Flavia & Danuletiu Adina Elena & Mura Petru Ovidiu, 2009. "Role Of Information In Adoption Of Investment Decisions On Capital Market," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 3(1), pages 474-479, May.
  14. Basak, Suleyman, 2000. "A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk," Journal of Economic Dynamics and Control, Elsevier, vol. 24(1), pages 63-95, January.
  15. Edward M Miller, 2000. "Equilibrium with divergence of opinion," Review of Financial Economics, John Wiley & Sons, vol. 9(1), pages 27-41, March.
  16. Jimnee Deka & Meghna Sharma & Nishant Agarwal & Kamesh Tiwari, 2023. "Linking ESG-Investing Consciousness, Behavioral Biases, and Risk-Perception: Scale Validation with Specifics of Indian Retail Investors," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 9(1), pages 70-91.
  17. repec:dgr:rugsom:02e40 is not listed on IDEAS
  18. Eickholt, Mathias, 2014. "Behavioral financial engineering in the fixed-income market: The influence of the coupon structure," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 16, University of Passau, Faculty of Business and Economics.
  19. Alex Dontoh & Suresh Radhakrishnan & Joshua Ronen, 2007. "Is stock price a good measure for assessing value-relevance of earnings? An empirical test," Review of Managerial Science, Springer, vol. 1(1), pages 3-45, April.
  20. Ormos, Mihály & Timotity, Dusán, 2016. "Generalized asset pricing: Expected Downside Risk-based equilibrium modeling," Economic Modelling, Elsevier, vol. 52(PB), pages 967-980.
  21. Hommes, Cars, 2011. "The heterogeneous expectations hypothesis: Some evidence from the lab," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 1-24, January.
  22. Chang, Eric C. & McQueen, Grant R. & Pinegar, J. Michael, 1999. "Cross-autocorrelation in Asian stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 471-493, December.
  23. repec:hal:journl:hal-04912120 is not listed on IDEAS
  24. Amanpreet Kaur & Mahesh Joshi & Gagandeep Singh & Sharad Sharma, 2024. "The Impact of Corporate Reputation on Cost of Debt: A Panel Data Analysis of Indian Listed Firms," JRFM, MDPI, vol. 17(8), pages 1-14, August.
  25. Li, Jinfang, 2020. "The momentum and reversal effects of investor sentiment on stock prices," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  26. Andrikopoulos, Andreas, 2015. "Truth and financial economics: A review and assessment," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 186-195.
  27. James Ming Chen, 2017. "Systematic Risk in the Macrocosm," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 239-274, Palgrave Macmillan.
  28. Orhan ERDEM & Evren ARIK & Serkan YÜKSEL, 2014. "Trading Puzzle, Puzzling Trade," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 29(345), pages 83-102.
  29. Babar Khalid & Ahmed Imran Hunjra, 2017. "Measuring the Validity of the Instrument of Information Asymmetry, Accounting Information, Personal Values, Investment Satisfaction and Investor Decision: An Empirical Analysis of Pakistani Stock Exch," Journal of Policy Research (JPR), Research Foundation for Humanity (RFH), vol. 3(2), pages 6-22, December.
  30. Hugh Kelley & Tom Evans, 2010. "Measuring the Impact of Behavioral Traders in the Market for Closed-end Country Funds from 2002 to 2009," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 16, Edward Elgar Publishing.
  31. Eric Zitzewitz, 2014. "Retail Securities Regulation in the Aftermath of the Bubble," NBER Chapters, in: Economic Regulation and Its Reform: What Have We Learned?, pages 545-588, National Bureau of Economic Research, Inc.
  32. Feng Sun & Cheng Liu & Xiaoguang Zhou, 2017. "Analysis of industry risk premium with MVS three dimensions vector factor model," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1374814-137, January.
  33. Hammad, Siddiqi, 2015. "Index Option Returns from an Anchoring Perspective," MPRA Paper 65331, University Library of Munich, Germany.
  34. Kyrtsou, Catherine & Malliaris, Anastasios G., 2009. "The impact of information signals on market prices when agents have non-linear trading rules," Economic Modelling, Elsevier, vol. 26(1), pages 167-176, January.
  35. Pablo Calafiore & Gökçe Soydemir & Rahul Verma, 2010. "The Impact of Business and Consumer Sentiment on Stock Market Returns: Evidence from Brazil," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 18, Edward Elgar Publishing.
  36. Cars Hommes, 2010. "The heterogeneous expectations hypothesis: some evidence from the lab," Post-Print hal-00753041, HAL.
  37. Amanpreet Kaur & Balwinder Singh, 2019. "Does Investment in R&D Affect Firm Reputation: Indian Experience," Journal of Entrepreneurship and Innovation in Emerging Economies, Entrepreneurship Development Institute of India, vol. 5(2), pages 98-109, July.
  38. Gaies, Brahim & Nakhli, Mohamed Sahbi & Ayadi, Rim & Sahut, Jean-Michel, 2022. "Exploring the causal links between investor sentiment and financial instability: A dynamic macro-financial analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 204(C), pages 290-303.
  39. Jasman Tuyon & Zamri Ahmad, 2021. "Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5793-5814, October.
  40. Li, Zhiyong & Wan, Yifan & Wang, Tianyi & Yu, Mei, 2023. "Factor-timing in the Chinese factor zoo: The role of economic policy uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  41. Ahmed Ibrahim Mokhtar, 2016. "An Empirical Examination of the Behavioral CAPM," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 5(3), pages 1-2.
  42. Daniel C. Indro, 2010. "Does Mutual Fund Flow Reflect Investor Sentiment?," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 10, Edward Elgar Publishing.
  43. Sinclair Davidson & Vikash Ramiah, 2010. "The Information-Adjusted Noise Model: Theory and Evidence from the Australian Stock Market," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 19, Edward Elgar Publishing.
  44. Pankaj Agrrawal, 2023. "The Gibbons, Ross, and Shanken Test for Portfolio Efficiency: A Note Based on Its Trigonometric Properties," Mathematics, MDPI, vol. 11(9), pages 1-19, May.
  45. Stracca, Livio, 2004. "Behavioral finance and asset prices: Where do we stand?," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 373-405, June.
  46. Ananda Ganguly & John Kagel & Donald Moser, 2000. "Do Asset Market Prices Reflect Traders' Judgment Biases?," Journal of Risk and Uncertainty, Springer, vol. 20(3), pages 219-245, May.
  47. Eugen Kovac, 2005. "Speculation and Survival in Financial Markets," CERGE-EI Working Papers wp276, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  48. Borochin, Paul & Wu, Zekun & Zhao, Yanhui, 2021. "The effect of option-implied skewness on delta- and vega-hedged option returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  49. Lorenzo Esposito & Giuseppe Mastromatteo, 2024. "Behavioral economics and the nature of neoclassical paradigm," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 23(1), pages 45-78, December.
  50. C. Yiu & S. Wong & K. Chau, 2009. "Transaction Volume and Price Dispersion in the Presale and Spot Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 38(3), pages 241-253, April.
  51. Robert A. Olsen, 1997. "Prospect theory as an explanation of risky choice by professional investors: Some evidence," Review of Financial Economics, John Wiley & Sons, vol. 6(2), pages 225-232.
  52. Miller, Edward M., 2000. "Equilibrium with divergence of opinion," Review of Financial Economics, Elsevier, vol. 9(1), pages 27-41.
  53. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2009. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," Journal of Finance, American Finance Association, vol. 64(2), pages 579-629, April.
  54. Gizelis, Demetrios & Chowdhury, Shah, 2016. "Investor Sentiment and Stock Returns: Evidence from the Athens Stock Exchange," MPRA Paper 71243, University Library of Munich, Germany.
  55. Raman Uppal & Harjoat Bhamra, 2016. "Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?," 2016 Meeting Papers 1358, Society for Economic Dynamics.
  56. Amanpreet Kaur & Balwinder Singh, 2018. "Corporate Reputation: Do Board Characteristics Matter? Indian Evidence," Indian Journal of Corporate Governance, , vol. 11(2), pages 122-134, December.
  57. Andrey Kudryavtsev, 2015. "Informational Content of Open-to-Close Stock Returns," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2015(1), pages 5-17.
  58. Siddiqi, Hammad, 2014. "Anchoring Heuristic in Option Prices," MPRA Paper 66018, University Library of Munich, Germany, revised 15 Jul 2015.
  59. Rangan Gupta & Chi Keung Marco Lau & Wendy Nyakabawo, 2018. "Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment," Working Papers 201866, University of Pretoria, Department of Economics.
  60. Oleg Sidorkin & Dmitriy Vorobyev, 2020. "Extra votes to signal loyalty: regional political cycles and national elections in Russia," Public Choice, Springer, vol. 185(1), pages 183-213, October.
  61. Kothari, S.P. & Ramanna, Karthik & Skinner, Douglas J., 2010. "Implications for GAAP from an analysis of positive research in accounting," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 246-286, December.
  62. Ramiah, Vikash & Xu, Xiaoming & Moosa, Imad A., 2015. "Neoclassical finance, behavioral finance and noise traders: A review and assessment of the literature," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 89-100.
  63. Sayim, Mustafa & Rahman, Hamid, 2015. "An examination of U.S. institutional and individual investor sentiment effect on the Turkish stock market," Global Finance Journal, Elsevier, vol. 26(C), pages 1-17.
  64. Pascal François & Alon Raviv, 2014. "Heterogeneous Beliefs and the Choice Between Private Restructuring and Formal Bankruptcy," Cahiers de recherche 1401, CIRPEE.
  65. Olsen, Robert A., 1997. "Prospect theory as an explanation of risky choice by professional investors: Some evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 225-232.
  66. Sidika Gulfem Bayram, 2017. "Rational–Irrational Investor Sentiments and Emerging Stock Market Returns: A Comparison from Turkey," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(3), pages 219-245, December.
  67. Verma, Rahul & Soydemir, Gökçe, 2009. "The impact of individual and institutional investor sentiment on the market price of risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1129-1145, August.
  68. Cathy Chen & I-Doun Kuo, 2014. "Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets," Review of Quantitative Finance and Accounting, Springer, vol. 43(2), pages 367-391, August.
  69. Bastías, Jaime & Ruiz, José L., 2022. "Equity fire sales and herding behavior in pension funds," Research in International Business and Finance, Elsevier, vol. 62(C).
  70. Rodgers, Waymond & Hudson, Robert & Economou, Fotini, 2023. "Modelling credit and investment decisions based on AI algorithmic behavioral pathways," Technological Forecasting and Social Change, Elsevier, vol. 191(C).
  71. Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2022. "The conditional impact of investor sentiment in global stock markets: A two-channel examination," Journal of Banking & Finance, Elsevier, vol. 138(C).
  72. Ali Shaddady & Mohammed Alsaggaf, 2020. "Issues that Matter When Behavioral Finance Factors Drive the Largest Initial Public Offering in the Saudi Financial Market," International Journal of Economics and Financial Issues, Econjournals, vol. 10(6), pages 106-117.
  73. Agha Jahanzeb & Saif-ur-Rehman, 2012. "Implication of Behavioral Finance in Investment Decision-making Process," Information Management and Business Review, AMH International, vol. 4(10), pages 532-536.
  74. Amanpreet Kaur & Balwinder Singh, 2021. "Does Firm’s Size Speak of Its Reputation? Indian Evidence," Global Business Review, International Management Institute, vol. 22(4), pages 1038-1053, August.
  75. Jeffrey Jarrett & Zhenzhen Sun, 2011. "Evidence and explanations for the association among six Asian (Pacific-Basin) financial markets," Applied Economics, Taylor & Francis Journals, vol. 43(12), pages 1485-1496.
  76. Hwai-Chung Ho & Chien-Chih Lin, 2011. "Influence of heterogeneous beliefs on volatility when agents' degree of confidence differs," Applied Economics Letters, Taylor & Francis Journals, vol. 18(10), pages 955-959.
  77. Siddiqi, Hammad, 2015. "Anchoring and Adjustment Heuristic in Option Pricing," MPRA Paper 68595, University Library of Munich, Germany.
  78. Joonhyuk Song & Doojin Ryu & Jinyoung Yu, 2023. "Changes in the options contract size and arbitrage opportunities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 122-137, January.
  79. Zamri Ahmad & Haslindar Ibrahim & Jasman Tuyon, 2017. "Institutional investor behavioral biases: syntheses of theory and evidence," Management Research Review, Emerald Group Publishing Limited, vol. 40(5), pages 578-603, May.
  80. Thampanya, Natthinee & Wu, Junjie & Nasir, Muhammad Ali & Liu, Jia, 2020. "Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
  81. Huan Liu & Weiqi Liu & Yi Li, 2022. "Private Information Dissemination and Noise Trading: Implications for Price Efficiency and Market Liquidity," Sustainability, MDPI, vol. 14(18), pages 1-19, September.
  82. Chen Gu & Xu Guo & Ruwan Adikaram & Kam C. Chan & Jing Lu, 2023. "Treasury return predictability and investor sentiment," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(4), pages 905-924, December.
  83. James Ming Chen, 2017. "Econophysics and Capital Asset Pricing," Quantitative Perspectives on Behavioral Economics and Finance, Palgrave Macmillan, number 978-3-319-63465-4, February.
  84. Sudhir Nanda & Thomas Schneeweis & Kristina Eneroth, 1996. "Corporate performance and firm perception: The British experience," European Financial Management, European Financial Management Association, vol. 2(2), pages 197-221, July.
  85. Emanuela Sciubba, 2005. "Asymmetric information and survival in financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 25(2), pages 353-379, February.
  86. Jong, Eelke de & Semenov, Radislav, 2002. "Cross-country differences in stock market development : a cultural view," Research Report 02E40, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  87. Khrennikova, Polina, 2016. "Application of quantum master equation for long-term prognosis of asset-prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 253-263.
  88. Harjoat S. Bhamra & Raman Uppal, 2014. "Asset Prices with Heterogeneity in Preferences and Beliefs," The Review of Financial Studies, Society for Financial Studies, vol. 27(2), pages 519-580.
  89. Liu, Yu-hong & Jiang, I-ming, 2012. "Influence of investor subjective judgments in investment decision-making," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 129-142.
  90. Yogita Singh & Mohd. Adil & S. M. Imamul Haque, 2023. "Personality traits and behaviour biases: the moderating role of risk-tolerance," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(4), pages 3549-3573, August.
  91. AGÂRBICEANU Simona Marcela & PĂUN Tatiana, 2021. "The Need For A Paradigm Shift In Finance: Sustainable Corporate Finance," Management of Sustainable Development, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 13(1), pages 33-38, June.
  92. Chung Baek, 2016. "Stock prices, dividends, earnings, and investor sentiment," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1043-1061, November.
  93. Jasman Tuyon & Zamri Ahmad, 2018. "Behavioural Asset Pricing Determinants in a Factor and Style Investing Framework," Capital Markets Review, Malaysian Finance Association, vol. 26(2), pages 32-52.
  94. Bradbury, Meike A.S. & Hens, Thorsten & Zeisberger, Stefan, 2019. "How persistent are the effects of experience sampling on investor behavior?," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 61-79.
  95. Verma, Rahul & Verma, Priti, 2008. "Are survey forecasts of individual and institutional investor sentiments rational?," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1139-1155, December.
  96. Fawad Ahmad, 2020. "Personality traits as predictor of cognitive biases: moderating role of risk-attitude," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 12(4), pages 465-484, June.
  97. Amanpreet Kaur & Balwinder Singh, 2018. "Measuring the Immeasurable Corporate Reputation," Metamorphosis: A Journal of Management Research, , vol. 17(1), pages 53-64, June.
  98. Aboulamer, Anas & Kryzanowski, Lawrence, 2016. "Are idiosyncratic volatility and MAX priced in the Canadian market?," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 20-36.
  99. Chen Gu & Denghui Chen & Raluca Stan, 2021. "Investor sentiment and the market reaction to macroeconomic news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1412-1426, September.
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