IDEAS home Printed from https://ideas.repec.org/r/hrv/faseco/3208217.html
   My bibliography  Save this item

Smart Money, Noise Trading and Stock Price Behaviour

Citations

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


Cited by:

  1. Pan, Ming-Shiun, 2007. "Permanent and transitory components of earnings, dividends, and stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(4), pages 535-549, September.
  2. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
  3. Kelly, Morgan, 1997. "Do Noise Traders Influence Stock Prices?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 351-363, August.
  4. Jacinto Marabel Romo, 2012. "Volatility Regimes For The Vix Index," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, vol. 20(2), pages 111-134, Autumn.
  5. Magomet Yandiev, 2011. "The Damped Fluctuations as a Base of Market Quotations," Working Papers 0003, Moscow State University, Faculty of Economics.
  6. Lui, Yu-Hon & Mole, David, 1998. "The use of fundamental and technical analyses by foreign exchange dealers: Hong Kong evidence," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 535-545, June.
  7. José Miguel Melo, 2011. "Estratégia Militar e Gestão de Activos: Uma Visão Heurística," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
  8. Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2015. "X-CAPM: An extrapolative capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 115(1), pages 1-24.
  9. Hyun Song Shin, 2003. "Disclosures and Asset Returns," Econometrica, Econometric Society, vol. 71(1), pages 105-133, January.
  10. Thierry Foucault & David Sraer & David J. Thesmar, 2011. "Individual Investors and Volatility," Journal of Finance, American Finance Association, vol. 66(4), pages 1369-1406, August.
  11. KENT D. DANIEL & David Hirshleifer & AVANIDHAR SUBRAHMANYAM, 2004. "A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-reactions," Finance 0412006, University Library of Munich, Germany.
  12. David Peel & Alan Speight, 1994. "Testing for non-linear dependence in inter-war exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(2), pages 391-417, June.
  13. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
  14. 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.
  15. Campbell, John Y. & Chacko, George & Rodriguez, Jorge & Viceira, Luis M., 2004. "Strategic asset allocation in a continuous-time VAR model," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2195-2214, October.
  16. Seok, Sang Ik & Cho, Hoon & Ryu, Doojin, 2019. "Firm-specific investor sentiment and daily stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  17. Kozak, Serhiy & Santosh, Shrihari, 2020. "Why do discount rates vary?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 740-751.
  18. Kumari, Jyoti, 2019. "Investor sentiment and stock market liquidity: Evidence from an emerging economy," Journal of Behavioral and Experimental Finance, Elsevier, vol. 23(C), pages 166-180.
  19. De Long, J Bradford & Shleifer, Andrei & Summers, Lawrence H & Waldmann, Robert J, 1991. "The Survival of Noise Traders in Financial Markets," The Journal of Business, University of Chicago Press, vol. 64(1), pages 1-19, January.
  20. Vlieghe, Gertjan & Stephen Bond & Alexander Klemm & Rain Newton-Smith & Murtaza Syed, 2003. "The roles of expected profitability, Tobin's Q and cash flow in econometric models of company investment," Royal Economic Society Annual Conference 2003 212, Royal Economic Society.
  21. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
  22. Stephen Bond, 2000. "Noisy Share Prices and the Q Model of Investment," Econometric Society World Congress 2000 Contributed Papers 1320, Econometric Society.
  23. French, Joseph J. & Li, Wei-Xuan, 2017. "Sentiment, foreign equity flows, and returns: Evidence from Thailand’s stock markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 816-831.
  24. Zhang, Qian & Li, Zeguang, 2021. "Time-varying risk attitude and the foreign exchange market behavior," Research in International Business and Finance, Elsevier, vol. 57(C).
  25. Zhang, Xibin & King, Maxwell L., 2008. "Box-Cox stochastic volatility models with heavy-tails and correlated errors," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 549-566, June.
  26. 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.
  27. Yao, Jing & Li, Duan, 2013. "Prospect theory and trading patterns," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2793-2805.
  28. John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1993. "Trading Volume and Serial Correlation in Stock Returns," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(4), pages 905-939.
  29. Zhifeng Cai, 2020. "Dynamic information acquisition and time-varying uncertainty," Departmental Working Papers 202002, Rutgers University, Department of Economics.
  30. Castro, Tomás del Barrio & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2013. "The Impact Of Persistent Cycles On Zero Frequency Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1289-1313, December.
  31. Vives, Xavier & Cespa, Giovanni, 2011. "Expectations, Liquidity, and Short-term Trading," CEPR Discussion Papers 8303, C.E.P.R. Discussion Papers.
  32. Cai, Zhifeng & Dong, Feng, 2023. "Public disclosure and private information acquisition: A global game approach," Journal of Economic Theory, Elsevier, vol. 210(C).
  33. Sato, Yuki, 2016. "Delegated portfolio management, optimal fee contracts, and asset prices," Journal of Economic Theory, Elsevier, vol. 165(C), pages 360-389.
  34. LuisM. Viceira & John Y. Campbell, 2001. "Who Should Buy Long-Term Bonds?," American Economic Review, American Economic Association, vol. 91(1), pages 99-127, March.
  35. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
  36. John Y. Campbell & John Cochrane, 1999. "Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
  37. Hu, Zongyi & Li, Chao, 2015. "Investor Sentiment and Irrational Speculative Bubble Model," MPRA Paper 62108, University Library of Munich, Germany.
  38. Ait-Sahalia, Yacine, 1998. "Dynamic equilibrium and volatility in financial asset markets," Journal of Econometrics, Elsevier, vol. 84(1), pages 93-127, May.
  39. David W.R. Gruen & Marianne C. Gizycki, 1993. "Explaining Forward Discount Bias: Is it Anchoring?," RBA Research Discussion Papers rdp9307, Reserve Bank of Australia.
  40. Massimo Massa & William Goetzmann, 2001. "Heterogeneity of Trade and Stock Returns. Evidence from Index Fund Investors," Yale School of Management Working Papers ysm176, Yale School of Management, revised 01 Nov 2001.
  41. Sang Ik Seok & Hoon Cho & Chanhi Park & Doojin Ryu, 2019. "Do Overnight Returns Truly Measure Firm-Specific Investor Sentiment in the KOSPI Market?," Sustainability, MDPI, vol. 11(13), pages 1-14, July.
  42. John Okunev & Patrick J. Wilson, 1997. "Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(3), pages 487-503, September.
  43. Truong, Quang-Thai & Tran, Quynh-Nhu & Bakry, Walid & Nguyen, Duc Nguyen & Al-Mohamad, Somar, 2021. "Football sentiment and stock market returns: Evidence from a frontier market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
  44. Edmans, Alex & Goldstein, Itay & Jiang, Wei, 2011. "Feedback Effects and the Limits to Arbitrage," Working Papers 11-67, University of Pennsylvania, Wharton School, Weiss Center.
  45. Tro Kortian, 1995. "Modern Approaches to Asset Price Formation: A Survey of Recent Theoretical Literature," RBA Research Discussion Papers rdp9501, Reserve Bank of Australia.
  46. Gallagher, Liam A & Taylor, Mark P, 2001. "Risky Arbitrage, Limits of Arbitrage, and Nonlinear Adjustment in the Dividend-Price Ratio," Economic Inquiry, Western Economic Association International, vol. 39(4), pages 524-536, October.
  47. Shleifer, Andrei & Vishny, Robert W, 1997. "The Limits of Arbitrage," Journal of Finance, American Finance Association, vol. 52(1), pages 35-55, March.
  48. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46.
  49. Jennifer Huang & Jiang Wang, 2009. "Liquidity and Market Crashes," The Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2407-2443, July.
  50. Athanasoulis, Stefano G., 2005. "Asset pricing from primitives: closed form solutions to asset prices, consumption, and portfolio demands," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 423-447, March.
  51. Chou, Pin-Huang & Hsieh, Chia-Hsun & Shen, Carl Hsin-Han, 2016. "What explains the orange juice puzzle: Sentiment, smart money, or fundamentals?," Journal of Financial Markets, Elsevier, vol. 29(C), pages 47-65.
  52. Christine Greenhalgh & Mark Rogers, 2006. "Trade Marks and Performance in UK Firms: Evidence of Schumpeterian Competition through Innovation," Discussion Papers 06-034, Stanford Institute for Economic Policy Research.
  53. Masahiro Watanabe, 2002. "Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry," Yale School of Management Working Papers amz2636, Yale School of Management, revised 01 Jul 2002.
  54. Bhootra, Ajay & Hur, Jungshik, 2012. "On the relationship between concentration of prospect theory/mental accounting investors, cointegration, and momentum," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1266-1275.
  55. Ilomaki Jukka & Laurila Hannu, 2017. "Endogenous Real Risk-Free Rate, the Central Bank, and Stock Market," Working Papers 1713, Tampere University, Faculty of Management and Business, Economics.
  56. Brown, Gregory W. & Cliff, Michael T., 2004. "Investor sentiment and the near-term stock market," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 1-27, January.
  57. Cui, Xin & Sensoy, Ahmet & Nguyen, Duc Khuong & Yao, Shouyu & Wu, Yiyao, 2022. "Positive information shocks, investor behavior and stock price crash risk," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 493-518.
  58. Jingzhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes," Finance 0401002, University Library of Munich, Germany.
  59. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-738, August.
  60. Hofmann, Erik & Solakivi, Tomi & Töyli, Juuso & Zinn, Martin, 2018. "Oil price shocks and the financial performance patterns of logistics service providers," Energy Economics, Elsevier, vol. 72(C), pages 290-306.
  61. Jonathan Cook, 2017. "Estimating the portion of technical analysts in a market," Applied Economics, Taylor & Francis Journals, vol. 49(41), pages 4127-4137, September.
  62. He, Hua & Wang, Jiang, 1995. "Differential Information and Dynamic Behavior of Stock Trading Volume," The Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 919-972.
  63. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "International Equity Flows and Returns: A Quantitative Equilibrium Approach," International Finance 0405006, University Library of Munich, Germany.
  64. Guo, Ming & Ou-Yang, Hui, 2021. "Alpha decay and Sharpe ratio: Two measures of investor performance," Economic Modelling, Elsevier, vol. 104(C).
  65. Chiang, Raymond & Liu, Peter & Okunev, John, 1995. "Modelling mean reversion of asset prices towards their fundamental value," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1327-1340, November.
  66. Anthony Olugbenga ADARAMOLA & Peter Akinyemi KAYODE, 2022. "Is Monetary Policy - Stock Price Behaviour Effect Sector-Sensitive? Evidence From Nigeria," Contemporary Economy Journal, Constantin Brancoveanu University, vol. 7(3), pages 171-193.
  67. Gao, Bin & Liu, Xihua, 2020. "Intraday sentiment and market returns," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 48-62.
  68. Veronesi, Pietro, 2004. "The Peso problem hypothesis and stock market returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 707-725, January.
  69. Thomas Theobald, 2015. "Agent-based risk management – a regulatory approach to financial markets," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(5), pages 780-820, October.
  70. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, August.
  71. Giovanni Cespa & Xavier Vives, 2015. "The Beauty Contest and Short-Term Trading," Journal of Finance, American Finance Association, vol. 70(5), pages 2099-2154, October.
  72. Guo, Mng, 2023. "Dampening effect and market efficiency," Journal of Economic Dynamics and Control, Elsevier, vol. 148(C).
  73. Chen, Zhenhua & Liu, Zhenya & Teka, Hanen & Zhang, Yifan, 2022. "Smart money in China's A-share market: Evidence from big data," Research in International Business and Finance, Elsevier, vol. 61(C).
  74. Ricardo Grinspun, 1995. "Learning rational expectations in an asset market," Journal of Economics, Springer, vol. 61(3), pages 215-243, October.
  75. Park, Beum-Jo & Kim, Myung-Joong, 2017. "A Dynamic Measure of Intentional Herd Behavior in Financial Markets," MPRA Paper 82025, University Library of Munich, Germany.
  76. Wenjie Ding & Khelifa Mazouz & Qingwei Wang, 2019. "Investor sentiment and the cross-section of stock returns: new theory and evidence," Review of Quantitative Finance and Accounting, Springer, vol. 53(2), pages 493-525, August.
  77. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "The Size and Incidence of the Losses from Noise Trading," Journal of Finance, American Finance Association, vol. 44(3), pages 681-696, July.
  78. Serda S. Öztürk & Thanasis Stengos, 2017. "A Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries," International Review of Finance, International Review of Finance Ltd., vol. 17(3), pages 479-490, September.
  79. Miller, M. & Weller, P. & Williamson, J., 1989. "The Stabilizing Properties Of Target Zones," The Warwick Economics Research Paper Series (TWERPS) 318, University of Warwick, Department of Economics.
  80. 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.
  81. 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.
  82. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  83. Huang, Emily J., 2015. "The role of institutional investors and individual investors in financial markets: Evidence from closed-end funds," Review of Financial Economics, Elsevier, vol. 26(C), pages 1-11.
  84. Michael Fung, 2013. "A trade-off between non-fundamental risk and incentives," Review of Quantitative Finance and Accounting, Springer, vol. 41(1), pages 29-51, July.
  85. Bumba Mukherjee & David Leblang, 2007. "Partisan Politics, Interest Rates And The Stock Market: Evidence From American And British Returns In The Twentieth Century," Economics and Politics, Wiley Blackwell, vol. 19(2), pages 135-167, July.
  86. Drees, Burkhard & Eckwert, Bernhard, 1993. "Asset pricing with cognitive dissonance," Discussion Papers, Series II 213, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  87. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887, Elsevier.
  88. Mark Kamstra, 2001. "Rational exuberance: The fundamentals of pricing firms, from blue chip to “dot com”," FRB Atlanta Working Paper 2001-21, Federal Reserve Bank of Atlanta.
  89. 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.
  90. Jesus Ancizar Gomez Daza & Luis Ferruz Agudo, 2016. "Are pension funds determinants of financial market stability? A dynamic analysis of OECD countries," Working Papers 20, Faculty of Economics and Management, Pontificia Universidad Javeriana Cali.
  91. Campbell, John Y & Hamao, Yasushi, 1992. "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration," Journal of Finance, American Finance Association, vol. 47(1), pages 43-69, March.
  92. García Iborra, Rafael & Howden, David, 2016. "Uses and Misuses of Arbitrage in Financial Theory, and a Suggested Alternative," MPRA Paper 79802, University Library of Munich, Germany.
  93. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
  94. Theobald, Michael & Yallup, Peter, 2005. "Intradaily volatility and adjustment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 407-424, December.
  95. Li, Tao, 2007. "Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(5), pages 1697-1727, May.
  96. Jeffrey R. Gerlach, 2005. "Imperfect Information and Stock Market Volatility," The Financial Review, Eastern Finance Association, vol. 40(2), pages 173-194, May.
  97. Matteo Formenti, 2014. "Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence," Papers 1409.4890, arXiv.org.
  98. Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach," Review of Finance, European Finance Association, vol. 11(3), pages 497-525.
  99. Christine Greenhalgh & Mark Rogers, 2006. "Trade Marks and Market Value in UK Firms," Melbourne Institute Working Paper Series wp2006n04, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  100. Eaton, Gregory W. & Green, T. Clifton & Roseman, Brian S. & Wu, Yanbin, 2022. "Retail trader sophistication and stock market quality: Evidence from brokerage outages," Journal of Financial Economics, Elsevier, vol. 146(2), pages 502-528.
  101. Mark Kamstra, 2003. "Pricing firms on the basis of fundamentals," Economic Review, Federal Reserve Bank of Atlanta, vol. 88(Q1), pages 49-70.
  102. Zhang, Chris H. & Frijns, Bart, 2019. "Noise trading and informational efficiency," EconStor Preprints 198037, ZBW - Leibniz Information Centre for Economics.
  103. Valentin Haddad & Serhiy Kozak & Shrihari Santosh & Stijn Van Nieuwerburgh, 2020. "Factor Timing," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 1980-2018.
  104. Griffin, J.E. & Steel, M.F.J., 2006. "Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility," Journal of Econometrics, Elsevier, vol. 134(2), pages 605-644, October.
  105. Xiong, Wei, 2001. "Convergence trading with wealth effects: an amplification mechanism in financial markets," Journal of Financial Economics, Elsevier, vol. 62(2), pages 247-292, November.
  106. Crystal Lin & Hamid Rahman & Kenneth Yung, 2009. "Investor Sentiment and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 450-471, November.
  107. Wang, F. Albert, 2001. "Overconfidence, Investor Sentiment, and Evolution," Journal of Financial Intermediation, Elsevier, vol. 10(2), pages 138-170, April.
  108. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "The dynamic behaviour of asset prices in disequilibrium: a survey," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 101-139.
  109. Avdis, Efstathios, 2016. "Information tradeoffs in dynamic financial markets," Journal of Financial Economics, Elsevier, vol. 122(3), pages 568-584.
  110. Malmendier, Ulrike & Pouzo, Demian & Vanasco, Victoria, 2020. "Investor experiences and financial market dynamics," Journal of Financial Economics, Elsevier, vol. 136(3), pages 597-622.
  111. De Long, J Bradford, et al, 1990. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-395, June.
  112. Isaenko, Sergey, 2023. "Transaction costs, frequent trading, and stock prices," Journal of Financial Markets, Elsevier, vol. 64(C).
  113. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
  114. Cong, Lin William & George, Nathan Darden & Wang, Guojun, 2023. "RIM-based value premium and factor pricing using value-price divergence," Journal of Banking & Finance, Elsevier, vol. 149(C).
  115. Naik, Narayan Y., 1997. "On aggregation of information in competitive markets: The dynamic case," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1199-1227, June.
  116. Naik, Narayan Y., 1997. "Multi-period information markets," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1229-1258, June.
  117. Senteney, David L. & Bazaz, Mohammad S. & Senteney, Michael H., 2016. "Cross-market information transfers of ADR firms: An investigation of emerging market economies," Research in International Business and Finance, Elsevier, vol. 37(C), pages 655-677.
  118. Mejda Bahlous, 2013. "Does Cross-Listing Benefit the Shareholders? Evidence from Companies in the GCC Countries?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 345-381, November.
  119. Albert S. Kyle & Wei Xiong, 2001. "Contagion as a Wealth Effect," Journal of Finance, American Finance Association, vol. 56(4), pages 1401-1440, August.
  120. James Peck & Matthew O. Jackson, 1999. "Asymmetric information in a competitive market game: Reexamining the implications of rational expectations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 13(3), pages 603-628.
  121. Hsin, Chin-Wen & Guo, Wen-Chung & Tseng, Seng-Su & Luo, Wen-Chih, 2003. "The impact of speculative trading on stock return volatility: the evidence from Taiwan," Global Finance Journal, Elsevier, vol. 14(3), pages 243-270, December.
  122. Campbell, John Y, 1991. "A Variance Decomposition for Stock Returns," Economic Journal, Royal Economic Society, vol. 101(405), pages 157-179, March.
  123. Nedeljkovic, Milan, 2008. "Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems," Economic Research Papers 269887, University of Warwick - Department of Economics.
  124. Chiarella, Carl & He, Xue-Zhong, 2002. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model," Computational Economics, Springer;Society for Computational Economics, vol. 19(1), pages 95-132, February.
  125. Geoffrey Poitras & John Heaney, 2008. ""How Is The Stock Market Doing?" Using Absence Of Arbitrage To Measure Stock Market Performance," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-27.
  126. Hirshleifer, David & Teoh, Siew Hong, 2003. "Limited attention, information disclosure, and financial reporting," Journal of Accounting and Economics, Elsevier, vol. 36(1-3), pages 337-386, December.
  127. Tan, Senren & Jin, Zhuo & Wu, Fuke, 2015. "Arbitrage and leverage strategies in bubbles under synchronization risks and noise-trader risks," Economic Modelling, Elsevier, vol. 49(C), pages 331-343.
  128. Gregory, Richard Paul, 2021. "What determines Manager and Investor Sentiment?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
  129. Erick Treviño Aguilar & Gilberto Calvillo Vives & Jeremy Heald, 2023. "A Network of two Markets, Correlations for Stocks in the S&P500 Index and Stocks Traded in the BMV," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 18(3), pages 1-27, Julio - S.
  130. Shahzad, Hassan & Duong, Huu Nhan & Kalev, Petko S. & Singh, Harminder, 2014. "Trading volume, realized volatility and jumps in the Australian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 414-430.
  131. Froot, Kenneth A & Obstfeld, Maurice, 1991. "Intrinsic Bubbles: The Case of Stock Prices," American Economic Review, American Economic Association, vol. 81(5), pages 1189-1214, December.
  132. Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
  133. 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.
  134. Schmeling, Maik, 2007. "Institutional and individual sentiment: Smart money and noise trader risk?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 127-145.
  135. Xu, Shaojun, 2023. "Behavioral asset pricing under expected feedback mode," International Review of Financial Analysis, Elsevier, vol. 86(C).
  136. Zhao Han, 2015. "A Dynamic Asset Pricing Model with Non-myopic Traders," Economics Bulletin, AccessEcon, vol. 35(3), pages 1788-1794.
  137. Matthew Spiegel & Harry Mamaysky, 2001. "A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization," Yale School of Management Working Papers amz2507, Yale School of Management.
  138. Harrison Hong & Jiang Wang, 2000. "Trading and Returns under Periodic Market Closures," Journal of Finance, American Finance Association, vol. 55(1), pages 297-354, February.
  139. Khasawneh, Ohoud Abdel Hafiez, 2017. "Noise trading in small markets: Evidence from Amman Stock Exchange (ASE)," Research in International Business and Finance, Elsevier, vol. 42(C), pages 422-428.
  140. 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.
  141. Deven Bathia & Don Bredin & Dirk Nitzsche, 2016. "International Sentiment Spillovers in Equity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(4), pages 332-359, October.
  142. Kim, Hayoung, 2022. "Heterogeneous effects of information disclosure: Evidence from housing markets," Journal of Economic Behavior & Organization, Elsevier, vol. 195(C), pages 359-380.
  143. Nedeljkovic, Milan, 2008. "Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems," The Warwick Economics Research Paper Series (TWERPS) 876, University of Warwick, Department of Economics.
  144. Neil Shephard & Ole E. Barndorff-Nielsen, 1998. "Incorporation of a Leverage Effect in a Stochastic Volatility Model," Economics Series Working Papers 1998-W14, University of Oxford, Department of Economics.
  145. 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.
  146. 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.
  147. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
  148. C. Meneghetti & Ryan Williams & S. C. Xiao, 2022. "The Market for Corporate Control as a Limit to Short Arbitrage," Post-Print hal-04211499, HAL.
  149. Matthew Spiegel, 1996. "Stock Price Volatility in a Multiple Security Overlapping Generations Model," Finance 9608002, University Library of Munich, Germany.
  150. H. F. Baklaci & O. Olgun & E. Can, 2011. "Noise traders: a new approach to understand the phantom of stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 18(11), pages 1035-1041.
  151. Emiliano Pagnotta, 2016. "Chasing Private Information," 2016 Meeting Papers 1673, Society for Economic Dynamics.
  152. Kearney, Colm & Daly, Kevin, 1997. "Monetary volatility and real output volatility: An empirical model of the financial transmission mechanism in Australia," International Review of Financial Analysis, Elsevier, vol. 6(2), pages 77-95.
  153. Oliver Williams & Stephen Satchell, 2011. "Social welfare issues of financial literacy and their implications for regulation," Journal of Regulatory Economics, Springer, vol. 40(1), pages 1-40, August.
  154. Akdeniz, Levent & Salih, Aslıhan Altay & Ok, Süleyman Tuluğ, 2007. "Are stock prices too volatile to be justified by the dividend discount model?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 433-444.
  155. Chiarella, Carl & He, Xue-Zhong, 2003. "Heterogeneous Beliefs, Risk, And Learning In A Simple Asset-Pricing Model With A Market Maker," Macroeconomic Dynamics, Cambridge University Press, vol. 7(4), pages 503-536, September.
  156. Matthew Spiegel & Harry Mamaysky, 2001. "A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization," Yale School of Management Working Papers amz2507, Yale School of Management.
  157. Emilio Barucci & Marco Casna, 2014. "On the Market Selection Hypothesis in a Mean Reverting Environment," Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 101-126, June.
  158. Gârleanu, Nicolae, 2009. "Portfolio choice and pricing in illiquid markets," Journal of Economic Theory, Elsevier, vol. 144(2), pages 532-564, March.
  159. Robert Chirinko & Hisham Foad, 2006. "Noise vs. News in Equity Returns," CESifo Working Paper Series 1812, CESifo.
  160. 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).
  161. Emily J. Huang, 2015. "The role of institutional investors and individual investors in financial markets: Evidence from closed‐end funds," Review of Financial Economics, John Wiley & Sons, vol. 26(1), pages 1-11, September.
  162. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
  163. Bose, Subir & Ladley, Daniel & Li, Xin, 2020. "The role of hormones in financial markets," International Review of Financial Analysis, Elsevier, vol. 67(C).
  164. Mark, Joy, 2011. "Gold and the US dollar: Hedge or haven?," Finance Research Letters, Elsevier, vol. 8(3), pages 120-131, September.
  165. Bian, Siyu & Serra, Teresa & Garcia, Philip & Irwin, Scott, 2022. "New evidence on market response to public announcements in the presence of microstructure noise," European Journal of Operational Research, Elsevier, vol. 298(2), pages 785-800.
  166. Jukka Ilomäki & Hannu Laurila, 2021. "Leaning against the wind policy and animal spirits in a general equilibrium model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2325-2334, April.
  167. José Renato Haas Ornelas & Pablo José Campos de Carvalho, 2015. "The Cost of Shorting, Asymmetric Performance Reaction and the Price Response to Economic Shocks," Working Papers Series 383, Central Bank of Brazil, Research Department.
  168. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004. "Asset Prices and Trading Volume under Fixed Transactions Costs," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October.
  169. Erkko Etula, 2013. "Broker-Dealer Risk Appetite and Commodity Returns," Journal of Financial Econometrics, Oxford University Press, vol. 11(3), pages 486-521, June.
  170. Robert D. Arnott & Jason C. Hsu & Jun Liu & Harry Markowitz, 2015. "Can Noise Create the Size and Value Effects?," Management Science, INFORMS, vol. 61(11), pages 2569-2579, November.
  171. Ming†Chang Wang & Lon†Ping Zu, 2013. "Trade Timing, Price Volatility and Serial Correlation," European Financial Management, European Financial Management Association, vol. 19(5), pages 911-934, November.
  172. Massimo Massa & William Goetzmann, 2001. "Dispersion of Opinion and Stock Returns: Evidence from Index Fund Investors," Yale School of Management Working Papers ysm227, Yale School of Management, revised 01 May 2003.
  173. Khaldoun Khashanah & Talal Alsulaiman, 2017. "Connectivity, Information Jumps, and Market Stability: An Agent-Based Approach," Complexity, Hindawi, vol. 2017, pages 1-16, August.
  174. Roberto Monte & Barbara Trivellato, 2009. "An equilibrium model of insider trading in continuous time," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(2), pages 83-128, November.
  175. Allan Hodgson & John Okunev, 2022. "Long term equity risk premiums in the UK and US: A cautionary tale of weak mean reversion," The European Journal of Finance, Taylor & Francis Journals, vol. 28(17), pages 1728-1744, November.
  176. Chunsheng Zhou & Chang Qing, 2000. "A State-Space Model Of Short- And Long-Horizon Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(4), pages 523-544, December.
  177. Yu Chen & Thomas Cosimano & Alex Himonas & Peter Kelly, 2014. "An Analytic Approach for Stochastic Differential Utility for Endowment and Production Economies," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 397-443, December.
  178. Mona Mortazian, 2022. "Liquidity and Volatility of Stocks Moved from the Main Market to the Alternative Investment Market (AIM)," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 195-220, June.
  179. Sadka, Ronnie, 2006. "Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk," Journal of Financial Economics, Elsevier, vol. 80(2), pages 309-349, May.
  180. Peress, Joel & Schmidt, Daniel, 2021. "Noise traders incarnate: Describing a realistic noise trading process," Journal of Financial Markets, Elsevier, vol. 54(C).
  181. Thomas, Ashok & Spataro, Luca & Mathew, Nanditha, 2014. "Pension funds and stock market volatility: An empirical analysis of OECD countries," Journal of Financial Stability, Elsevier, vol. 11(C), pages 92-103.
  182. Dilip Madan & Yue Xiao, 2010. "Leveraged Levy processes as models for stock prices," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 735-748.
  183. Sadzik, Tomasz & Woolnough, Chris, 2021. "Snowballing private information," Journal of Economic Theory, Elsevier, vol. 198(C).
  184. Park, Beum-Jo, 2014. "Time-varying, heterogeneous risk aversion and dynamics of asset prices among boundedly rational agents," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 150-159.
  185. Massimo Massa & William Goetzmann, 2001. "Dispersion of Opinion and Stock Returns: Evidence from Index Fund Investors," Yale School of Management Working Papers ysm227, Yale School of Management, revised 01 May 2003.
  186. Gil-Bazo, Javier, 2001. "Optimal demand for long-term bonds when returns are predictable," DEE - Working Papers. Business Economics. WB wb012308, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  187. Pirrong, Stephen Craig, 1995. "The Self-Regulation of Commodity Exchanges: The Case of Market Manipulation," Journal of Law and Economics, University of Chicago Press, vol. 38(1), pages 141-206, April.
  188. Ozturk, Serda Selin & Richard, Jean-Francois, 2015. "Stochastic volatility and leverage: Application to a panel of S&P500 stocks," Finance Research Letters, Elsevier, vol. 12(C), pages 67-76.
  189. Bernardo, Antonio E. & Judd, Kenneth L., 2000. "Asset market equilibrium with general tastes, returns, and informational asymmetries," Journal of Financial Markets, Elsevier, vol. 3(1), pages 17-43, February.
  190. Sun, Xiaojin & Tsang, Kwok Ping, 2019. "Large price movements in housing markets," Journal of Economic Behavior & Organization, Elsevier, vol. 163(C), pages 1-23.
  191. Tom Marty & Bruce Vanstone & Tobias Hahn, 2020. "News media analytics in finance: a survey," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1385-1434, June.
  192. Jukka Ilomäki & Hannu Laurila, 2018. "The Noise Trader Effect In A Walrasian Financial Market," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 405-419, December.
  193. Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila, 2021. "Leaning against the Bubble: Central Bank Intervention in Walrasian Asset Markets," Risks, MDPI, vol. 9(12), pages 1-12, December.
  194. Doowoo Nam, 2004. "Do Foreign Investors Cause Noise in an Emerging Stock Market?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(1), pages 21-36, January.
  195. Tsung-Yu Hsieh & Chih-Ling Lin & Ting-Yi Wu, 2017. "Impact of Intraday Trading of Securities on Market Liquidity: Revisiting the Price Impact Function," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 7(9), pages 921-928, September.
  196. Flynn, Sean M., 2005. "Noise-trader Risk: Does it Deter Arbitrage, and Is it Priced?," Vassar College Department of Economics Working Paper Series 69, Vassar College Department of Economics.
  197. Natividad Blasco & Pilar Corredor & Sandra Ferreruela, 2012. "Does herding affect volatility? Implications for the Spanish stock market," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 311-327, July.
  198. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, University Library of Munich, Germany.
  199. Thornton, Michael A. & Chambers, Marcus J., 2016. "The exact discretisation of CARMA models with applications in finance," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 739-761.
  200. Kevin Daly, 2011. "An Overview of the Determinants of Financial Volatility: An Explanation of Measuring Techniques," Modern Applied Science, Canadian Center of Science and Education, vol. 5(5), pages 1-46, October.
  201. Jawadi, Fredj & Namouri, Hela & Ftiti, Zied, 2018. "An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 469-484.
  202. Albert S. Kyle & Anna A. Obizhaeva, 2016. "Market Microstructure Invariance: Empirical Hypotheses," Econometrica, Econometric Society, vol. 84(4), pages 1345-1404, July.
  203. Isaenko, Sergey, 2023. "Trading strategies and the frequency of time-series," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 267-283.
  204. Jia-Ping Huang & Yang Zhang & Juanxi Wang, 2023. "Dynamic effects of social influence on asset prices," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(3), pages 671-699, July.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.