IDEAS home Printed from https://ideas.repec.org/r/eee/monogr/9780123743565.html
   My bibliography  Save this item

A Behavioral Approach to Asset Pricing

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
  2. Siddiqi, Hammad, 2013. "Analogy Making in Complete and incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers 160608, University of Queensland, School of Economics.
  3. 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).
  4. Ahmed Bouteska & Boutheina Regaieg, 2017. "Overconfidence Bias, Over/Under-reaction of Financial Analysts on the Tunisian Stock Market, and Their Impacts on the Earnings Forecasts," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 208-214.
  5. Wei Xiong & Hongjun Yan, 2010. "Heterogeneous Expectations and Bond Markets," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
  6. Péter Benczúr & Cosmin L. Ilut, 2016. "Evidence for Relational Contracts in Sovereign Bank Lending," Journal of the European Economic Association, European Economic Association, vol. 14(2), pages 375-404.
  7. Jupeng Li & Xiaoli Yu & Xingguo Luo, 2019. "Volatility index and the return–volatility relation: Intraday evidence from Chinese options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1348-1359, November.
  8. Shi, Yun & Cui, Xiangyu & Zhou, Xunyu, 2020. "Beta and Coskewness Pricing: Perspective from Probability Weighting," SocArXiv 5rqhv, Center for Open Science.
  9. Suzanne G. M. Fifield & David G. McMillan & Fiona J. McMillan, 2020. "Is there a risk and return relation?," The European Journal of Finance, Taylor & Francis Journals, vol. 26(11), pages 1075-1101, July.
  10. Di Girolamo, Amalia & Harrison, Glenn W. & Lau, Morten I. & Swarthout, J. Todd, 2015. "Subjective belief distributions and the characterization of economic literacy," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 59(C), pages 1-12.
  11. Stefanescu, Răzvan & Dumitriu, Ramona, 2015. "Buy and sell signals on Bucharest Stock Exchange," MPRA Paper 89014, University Library of Munich, Germany, revised 05 Jan 2016.
  12. Brice Corgnet & Camille Cornand & Nobuyuki Hanaki, 2023. "Negative Tail Events, Emotions & Risk Taking," Post-Print hal-04228190, HAL.
  13. Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2021. "Investor sentiment and stock returns: Global evidence," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 365-391.
  14. Grith, Maria & Karl Härdle, Wolfgang & Krätschmer, Volker, 2013. "Reference dependent preferences and the EPK puzzle," SFB 649 Discussion Papers 2013-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  15. Guofu Zhou, 2018. "Measuring Investor Sentiment," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 239-259, November.
  16. Faisal Khalil & Gordon Pipa, 2022. "Is Deep-Learning and Natural Language Processing Transcending the Financial Forecasting? Investigation Through Lens of News Analytic Process," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 147-171, June.
  17. Prasenjit Chakrabarti & K. Kiran Kumar, 2017. "Does behavioural theory explain return-implied volatility relationship? Evidence from India," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1355521-135, January.
  18. Clio Ciaschini & Kateryna Tkach & Francesca Mariani & Maria Cristina Recchioni, 2019. "Speculative bubbles in agricultural commodity prices: detection and forecasting via market indicators," RIEDS - Rivista Italiana di Economia, Demografia e Statistica - The Italian Journal of Economic, Demographic and Statistical Studies, SIEDS Societa' Italiana di Economia Demografia e Statistica, vol. 73(2), pages 63-73, April-Jun.
  19. Davis, Yehuda & Govindaraj, Suresh & Suslava, Kate, 2024. "Does the stock market anticipate events and supreme court decisions in corporate cases?," Global Finance Journal, Elsevier, vol. 60(C).
  20. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
  21. A. Alventosa & Y. Gómez & V. Martínez-Molés & J. Vila, 2016. "Location and Innovation Optimism: a Behavioral-Experimental Approach," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 7(4), pages 890-904, December.
  22. Vafai, Nima & Rakowski, David, 2024. "The sources of portfolio volatility and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 91(C).
  23. Goulding, Christian L. & Harvey, Campbell R. & Mazzoleni, Michele G., 2023. "Momentum turning points," Journal of Financial Economics, Elsevier, vol. 149(3), pages 378-406.
  24. I Doun Kuo, 2017. "Irrationality and Term Structure Anomaly," Proceedings of Economics and Finance Conferences 4507033, International Institute of Social and Economic Sciences.
  25. Hu, Wei & Zheng, Zhenlong, 2020. "Expectile CAPM," Economic Modelling, Elsevier, vol. 88(C), pages 386-397.
  26. Karim, Muhammad Mahmudul & Ali, Md Hakim & Yarovaya, Larisa & Uddin, Md Hamid & Hammoudeh, Shawkat, 2023. "Return-volatility relationships in cryptocurrency markets: Evidence from asymmetric quantiles and non-linear ARDL approach," International Review of Financial Analysis, Elsevier, vol. 90(C).
  27. Zhao, Zhijun & Zhang, Xiaoqi, 2022. "A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
  28. Siddiqi, Hammad, 2013. "Analogy Making In Complete and Incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers 156934, University of Queensland, School of Economics.
  29. Hoje Jo & Haehean Park & Hersh Shefrin, 2020. "Bitcoin and sentiment," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1861-1879, December.
  30. Brocas, Isabelle & Carrillo, Juan D., 2012. "From perception to action: An economic model of brain processes," Games and Economic Behavior, Elsevier, vol. 75(1), pages 81-103.
  31. Machado, André & Lima, Fabiano Guasti, 2021. "Sell-side analyst reports and decision-maker reactions: Role of heuristics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
  32. Siddiqi, Hammad, 2013. "Mental Accounting: A Closed-Form Alternative to the Black Scholes Model," MPRA Paper 50759, University Library of Munich, Germany.
  33. Thorsten Hens & Sabine Elmiger, 2019. "Economic Foundations for Finance," Springer Texts in Business and Economics, Springer, number 978-3-030-05427-4, April.
  34. Enrico Maria Cervellati & Pierpaolo Pattitoni & Marco Savioli, 2013. "Entrepreneurial Under-Diversification: Over Optimism and Overconfidence," Working Paper series 09_13, Rimini Centre for Economic Analysis, revised May 2016.
  35. Kadilli, Anjeza, 2015. "Predictability of stock returns of financial companies and the role of investor sentiment: A multi-country analysis," Journal of Financial Stability, Elsevier, vol. 21(C), pages 26-45.
  36. Jukka Ilomäki, 2016. "Risk-Free Rates And Animal Spirits In Financial Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 1-18, September.
  37. Ilomäki, Jukka & Laurila, Hannu, 2018. "Animal spirits in financial markets: Experimental evidence," Journal of Behavioral and Experimental Finance, Elsevier, vol. 20(C), pages 99-104.
  38. St¨¦phane Chr¨¦tien & Manel Kammoun, 2019. "Mutual Fund Styles and Clientele-Specific Performance Evaluation," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(12), pages 1-89, December.
  39. Karim, Muhammad Mahmudul & Kawsar, Najmul Haque & Ariff, Mohamed & Masih, Mansur, 2022. "Does implied volatility (or fear index) affect Islamic stock returns and conventional stock returns differently? Wavelet-based granger-causality, asymmetric quantile regression and NARDL approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  40. Robert Merrin & Arvid Hoffmann & Joost Pennings, 2013. "Customer satisfaction as a buffer against sentimental stock-price corrections," Marketing Letters, Springer, vol. 24(1), pages 13-27, March.
  41. Chen, Cathy Yi-Hsuan & Kuo, I-Doun & Chiang, Thomas C., 2014. "What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 172-190.
  42. Ricardo Crisóstomo, 2021. "Estimating real‐world probabilities: A forward‐looking behavioral framework," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1797-1823, November.
  43. Lee, Hsiu-Chuan & Lee, Yun-Huan & Nguyen, Cuong, 2023. "Tail comovements of implied volatility indices and global index futures returns predictability," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  44. Douglas de Medeiros Franco, 2022. "Expectations, Economic Uncertainty, and Sentiment," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 26(5), pages 210029-2100.
  45. Robert J. Shiller, 2014. "Speculative Asset Prices (Nobel Prize Lecture)," Cowles Foundation Discussion Papers 1936, Cowles Foundation for Research in Economics, Yale University.
  46. Jakusch, Sven Thorsten & Meyer, Steffen & Hackethal, Andreas, 2019. "Taming models of prospect theory in the wild? Estimation of Vlcek and Hens (2011)," SAFE Working Paper Series 146, Leibniz Institute for Financial Research SAFE, revised 2019.
  47. Amalia Di Girolamo & Glenn W. Harrison & Morten I. Lau & J. Todd Swarthout, 2013. "Characterizing Financial and Statistical Literacy," Experimental Economics Center Working Paper Series 2013-04, Experimental Economics Center, Andrew Young School of Policy Studies, Georgia State University.
  48. Ahmed Hamed Al-Abbadi & Adam Abdullah, 2017. "Modeling Psychology in Islamic Wealth Management," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(10), pages 64-85, October.
  49. Jakusch, Sven Thorsten, 2017. "On the applicability of maximum likelihood methods: From experimental to financial data," SAFE Working Paper Series 148, Leibniz Institute for Financial Research SAFE, revised 2017.
  50. Wei Xiong & Hongjun Yan, 2010. "Heterogeneous Expectations and Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
  51. Jiexin Dai & Abootaleb Shirvani & Frank J. Fabozzi, 2020. "Rational Finance Approach to Behavioral Option Pricing," Papers 2005.05310, arXiv.org.
  52. Jiang, Fuwei & Lee, Joshua & Martin, Xiumin & Zhou, Guofu, 2019. "Manager sentiment and stock returns," Journal of Financial Economics, Elsevier, vol. 132(1), pages 126-149.
  53. Ricardo Reis, 2020. "The People versus the Markets: A Parsimonious Model of Inflation Expectations," Discussion Papers 2033, Centre for Macroeconomics (CFM).
  54. Thabang Mokoaleli‐Mokoteli & Richard J. Taffler & Vineet Agarwal, 2009. "Behavioural Bias and Conflicts of Interest in Analyst Stock Recommendations," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(3‐4), pages 384-418, April.
  55. T. De Angelis & G. Peskir, 2016. "Optimal prediction of resistance and support levels," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(6), pages 465-483, November.
  56. Zhang, Xinxin & Bouri, Elie & Xu, Yahua & Zhang, Gongqiu, 2022. "The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market," Energy Economics, Elsevier, vol. 109(C).
  57. Beryl Y Chang & Caroline E. W. Glackin, 2012. "The Mortgage Foreclosure Rage: A Behavioral Perspective," Journal of Economics and Behavioral Studies, AMH International, vol. 4(11), pages 635-648.
  58. Peter Benczur & Cosmin Ilut, 2011. "Evidence for Dynamic Contracts in Sovereign Bank Lending," Working Papers 11-06, Duke University, Department of Economics.
  59. Maria Grith & Wolfgang K. Härdle & Volker Krätschmer, 2017. "Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle," Review of Finance, European Finance Association, vol. 21(1), pages 269-298.
  60. Das, Sanjiv R. & Ostrov, Daniel & Radhakrishnan, Anand & Srivastav, Deep, 2022. "Dynamic optimization for multi-goals wealth management," Journal of Banking & Finance, Elsevier, vol. 140(C).
  61. Raman Uppal & Harjoat Bhamra, 2016. "Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?," 2016 Meeting Papers 1358, Society for Economic Dynamics.
  62. Rangan Gupta, 2018. "Manager Sentiment and Stock Market Volatility," Working Papers 201853, University of Pretoria, Department of Economics.
  63. Robert J. Shiller, 2014. "Speculative Asset Prices," American Economic Review, American Economic Association, vol. 104(6), pages 1486-1517, June.
  64. Zhu, Yingzi & Zhou, Guofu, 2009. "Technical analysis: An asset allocation perspective on the use of moving averages," Journal of Financial Economics, Elsevier, vol. 92(3), pages 519-544, June.
  65. Zeeshan Ahmed & Shahid Rasool & Qasim Saleem & Mubashir Ali Khan & Shamsa Kanwal, 2022. "Mediating Role of Risk Perception Between Behavioral Biases and Investor’s Investment Decisions," SAGE Open, , vol. 12(2), pages 21582440221, May.
  66. Dina Gabbori & Nader Virk & Nadeem Aftab & Basel Awartani, 2024. "The impact of Islamic events on herding behaviour in Saudi Arabian equities market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 119-134, January.
  67. Danso, Albert & Lartey, Theophilus & Amankwah-Amoah, Joseph & Adomako, Samuel & Lu, Qinye & Uddin, Moshfique, 2019. "Market sentiment and firm investment decision-making," International Review of Financial Analysis, Elsevier, vol. 66(C).
  68. Szymon Lis, 2022. "Investor Sentiment in Asset Pricing Models: A Review," Working Papers 2022-14, Faculty of Economic Sciences, University of Warsaw.
  69. Azza Bejaoui & Wajdi Frikha & Ahmed Jeribi, 2023. "On the dynamic connectedness between the G7 stock market indices and different asset classes: Fresh insights from the COVID-19 pandemic and Russia–Ukraine war," SN Business & Economics, Springer, vol. 3(11), pages 1-21, November.
  70. Thabang Mokoaleli-Mokoteli & Richard J. Taffler & Vineet Agarwal, 2009. "Behavioural Bias and Conflicts of Interest in Analyst Stock Recommendations," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(3-4), pages 384-418.
  71. Yun‐Huan Lee & Tzu‐Hsiang Liao & Hsiu‐Chuan Lee, 2022. "Overnight returns of industry exchange‐traded funds, investor sentiment, and futures market returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1114-1134, June.
  72. Jin, Xiaoye, 2022. "Testing technical trading strategies on China's equity ETFs: A skewness perspective," Emerging Markets Review, Elsevier, vol. 51(PA).
  73. Saif Siddiqui & Preeti Roy, 2019. "Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 46(3), pages 239-252, September.
  74. Lilis Ardini & Mochammad Fahlevi & Mochamad Dandi & Olivia Putri Dahlan & Sahara Putri Dahlan, 2024. "Digital Financial Literacy and Its Impact on Financial Skills and Financial Goals in Indonesia’s Digital Payment Ecosystem," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 7, pages 181-199.
  75. Badshah, Ihsan & Frijns, Bart & Knif, Johan & Tourani-Rad, Alireza, 2016. "Asymmetries of the intraday return-volatility relation," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 182-192.
  76. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," Risk and Sustainable Management Group Working Papers 187407, University of Queensland, School of Economics.
  77. Chen, Cathy Yi-Hsuan & Kuo, I-Doun, 2015. "Survey sentiment and interest rate option smile," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 125-137.
  78. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
  79. Mai, Nhat Chi, 2020. "Behaviours In The Stock Market - An Empirical Study," OSF Preprints ypq8m, Center for Open Science.
  80. Zhou, Xuemei & Liu, Qiang & Guo, Shuxin, 2021. "Do overnight returns explain firm-specific investor sentiment in China?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 451-477.
  81. Pok, Wei Fong & Humayun Kabir, M. & Young, Martin, 2022. "Investor sentiment and mean-variance relation: Evidence from emerging futures markets," Finance Research Letters, Elsevier, vol. 46(PB).
  82. Thorsten Hens & Marc Oliver Rieger, 2014. "Can utility optimization explain the demand for structured investment products?," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 673-681, April.
  83. Huang, Teng-Ching & Wu, Ching-Chih & Lin, Bing-Huei, 2016. "Institutional herding and risk–return relationship," Journal of Business Research, Elsevier, vol. 69(6), pages 2073-2080.
  84. Xie, Yuxin & Hwang, Soosung & Pantelous, Athanasios A., 2018. "Loss aversion around the world: Empirical evidence from pension funds," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 52-62.
  85. Kil Woo Han & Sang-Bum Park, 2019. "An Analysis on the Effects of Economic Conditions on Investment Behavior: Focusing on Level of Finance Knowledge, Income-Expenditure Balance and Liquidity Constraints," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(11), pages 1-52, November.
  86. Bosquet, K. & de Goeij, P. C. & Smedts, K., 2009. "Coexistence and Dynamics of Overconfidence and Strategic Incentives," Other publications TiSEM 53ae604c-8815-418c-8101-6, Tilburg University, School of Economics and Management.
  87. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
  88. Caginalp, Carey & Caginalp, Gunduz, 2019. "Stochastic asset price dynamics and volatility using a symmetric supply and demand price equation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 807-824.
  89. Haug, Jørgen & Hens, Thorsten & Woehrmann, Peter, 2013. "Risk aversion in the large and in the small," Economics Letters, Elsevier, vol. 118(2), pages 310-313.
  90. repec:hum:wpaper:sfb649dp2013-023 is not listed on IDEAS
  91. Roy, Preeti & Ahmad, Wasim & Sadorsky, Perry & Phani, B.V., 2022. "What do we know about the idiosyncratic risk of clean energy equities?," Energy Economics, Elsevier, vol. 112(C).
  92. Bosquet, K. & de Goeij, P. C. & Smedts, K., 2009. "Coexistence and Dynamics of Overconfidence and Strategic Incentives," Discussion Paper 2009-81, Tilburg University, Center for Economic Research.
  93. Burcu Sezen & Dominique Hanssens, 2023. "Financial returns to corporate brand extensions: does typicality matter?," Journal of Marketing Analytics, Palgrave Macmillan, vol. 11(3), pages 287-296, September.
  94. Meng-Shiuh Chang & Meng-Wei Chen & Peijie Ju, 2023. "Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach," SAGE Open, , vol. 13(4), pages 21582440231, November.
  95. Huber, Jürgen & Palan, Stefan & Zeisberger, Stefan, 2019. "Does investor risk perception drive asset prices in markets? Experimental evidence," Journal of Banking & Finance, Elsevier, vol. 108(C).
  96. Siddiqi, Hammad, 2014. "Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew: Theory and Empirical Evidence," Risk and Sustainable Management Group Working Papers 177302, University of Queensland, School of Economics.
  97. Bozhidar Nedev, 2018. "Traditional or behavioral finance?," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 113-134.
  98. Siddiqi, Hammad, 2013. "Analogy Making, Option Prices, and Implied Volatility," MPRA Paper 48862, University Library of Munich, Germany.
  99. Li, Yan & Yang, Liyan, 2013. "Prospect theory, the disposition effect, and asset prices," Journal of Financial Economics, Elsevier, vol. 107(3), pages 715-739.
  100. Usul, Naime & Özdemir, Özlem & Kiessling, Timothy, 2017. "Affect-based stock investment decision: The role of affective self-affinity," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 68(C), pages 97-109.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.