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Psychology-based Models of Asset Prices and Trading Volume

Citations

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Cited by:

  1. Julien Pénasse & Luc Renneboog, 2022. "Speculative Trading and Bubbles: Evidence from the Art Market," Management Science, INFORMS, vol. 68(7), pages 4939-4963, July.
  2. Stefano Della & Jörg Heining & Johannes F Schmieder & Simon Trenkle, 2023. "Evidence on Job Search Models from a Survey of Unemployed Workers in Germany," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 137(2), pages 1181-1232.
  3. Henriksen, Alexandre Lauri & Zoghbi, Ana Carolina & Tannuri-Pianto, Maria & Terra, Rafael, 2022. "Education outcomes of broadband expansion in Brazilian municipalities," Information Economics and Policy, Elsevier, vol. 60(C).
  4. Khandelwal, Vatsal, 2024. "Learning in networks with idiosyncratic agents," Games and Economic Behavior, Elsevier, vol. 144(C), pages 225-249.
  5. Chue, Timothy K. & Gul, Ferdinand A. & Mian, G. Mujtaba, 2019. "Aggregate investor sentiment and stock return synchronicity," Journal of Banking & Finance, Elsevier, vol. 108(C).
  6. Liu, Hongqi & Peng, Cameron & Wei, Xiong & Wei, Xiong, 2022. "Taming the bias zoo," LSE Research Online Documents on Economics 109301, London School of Economics and Political Science, LSE Library.
  7. John Gathergood & David Hirshleifer & David Leake & Hiroaki Sakaguchi & Neil Stewart, 2023. "Naïve Buying Diversification and Narrow Framing by Individual Investors," Journal of Finance, American Finance Association, vol. 78(3), pages 1705-1741, June.
  8. Cheng, Ing-Haw & Hsiaw, Alice, 2022. "Distrust in experts and the origins of disagreement," Journal of Economic Theory, Elsevier, vol. 200(C).
  9. Camous, Antoine & Van der Ghote, Alejandro, 2022. "Financial cycles under diagnostic beliefs," Working Paper Series 2659, European Central Bank.
  10. Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021. "Household Finance," Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
  11. Yang Hao, 2023. "Financial Market with Learning from Price under Knightian Uncertainty," Working Papers hal-03686748, HAL.
  12. Aysan, Ahmet Faruk & Caporin, Massimiliano & Cepni, Oguzhan, 2024. "Not all words are equal: Sentiment and jumps in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  13. Liu, Hongqi & Peng, Cameron & Xiong, Wei A. & Xiong, Wei, 2022. "Taming the bias zoo," Journal of Financial Economics, Elsevier, vol. 143(2), pages 716-741.
  14. Jin, Lawrence J. & Sui, Pengfei, 2022. "Asset pricing with return extrapolation," Journal of Financial Economics, Elsevier, vol. 145(2), pages 273-295.
  15. Ma, Xinru & He, Jingbin & Liao, Jingchi, 2021. "Does decision fatigue affect institutional bidding behavior? Evidence from Chinese IPO market," Economic Modelling, Elsevier, vol. 98(C), pages 1-12.
  16. Utz Weitzel & Christoph Huber & Jürgen Huber & Michael Kirchler & Florian Lindner & Julia Rose & Lauren Cohen, 2020. "Bubbles and Financial Professionals," The Review of Financial Studies, Society for Financial Studies, vol. 33(6), pages 2659-2696.
  17. Li, Xianshan & Lu, Mingfang & Li, Fei & Xiong, Wei & Li, Zhenxing, 2022. "Prosumer energy-storage trading feasibility evaluation and price bundling," Energy, Elsevier, vol. 239(PB).
  18. Firth, Chris & Stewart, Neil & Antoniou, Constantinos & Leake, David, 2023. "The effects of personality and IQ on portfolio outcomes," Finance Research Letters, Elsevier, vol. 51(C).
  19. Long, Huaigang & Zaremba, Adam & Zhou, Wenyu & Bouri, Elie, 2022. "Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns," Journal of Financial Markets, Elsevier, vol. 61(C).
  20. Cong Chen & Changsheng Hu & Hongxing Yao, 2022. "Noise Trader Risk and Wealth Effect: A Theoretical Framework," Mathematics, MDPI, vol. 10(20), pages 1-18, October.
  21. Andrew Y. Chen, 2019. "The Limits of p-Hacking : A Thought Experiment," Finance and Economics Discussion Series 2019-016, Board of Governors of the Federal Reserve System (U.S.).
  22. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2024. "What drives the tail risk effect in the Chinese stock market?," Economic Modelling, Elsevier, vol. 132(C).
  23. Stefano Della & Jörg Heining & Johannes F Schmieder & Simon Trenkle, 2022. "Evidence on Job Search Models from a Survey of Unemployed Workers in Germany [Reference-Dependent Preferences: Evidence from Marathon Runners]," The Quarterly Journal of Economics, Oxford University Press, vol. 137(2), pages 1181-1232.
  24. Shi, Leilei & Wang, Binghong & Guo, Xinshuai & Li, Honggang, 2021. "A price dynamic equilibrium model with trading volume weights based on a price-volume probability wave differential equation," International Review of Financial Analysis, Elsevier, vol. 74(C).
  25. Hervé Roche & Juan Sotes-Paladino, 2022. "Sentiment, Mispricing and Excess Volatility in Presence of Institutional Investors," Working Papers 205, Red Nacional de Investigadores en Economía (RedNIE).
  26. Andrew Y. Chen & Alejandro Lopez-Lira & Tom Zimmermann, 2022. "Does Peer-Reviewed Research Help Predict Stock Returns?," Papers 2212.10317, arXiv.org, revised Jun 2024.
  27. Edika Quispe-Torreblanca & John Gathergood & George Loewenstein & Neil Stewart, 2020. "Attention Utility: Evidence from Individual Investors," CESifo Working Paper Series 8091, CESifo.
  28. Victor Olkhov, 2020. "Volatility Depends on Market Trades and Macro Theory," Papers 2008.07907, arXiv.org, revised Jun 2024.
  29. Mehwish Aziz Khan & Eatzaz Ahmad, 2018. "Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan," Sustainability, MDPI, vol. 11(1), pages 1-20, December.
  30. Da, Zhi & Huang, Xing & Jin, Lawrence J., 2021. "Extrapolative beliefs in the cross-section: What can we learn from the crowds?," Journal of Financial Economics, Elsevier, vol. 140(1), pages 175-196.
  31. Bogousslavsky, Vincent, 2021. "The cross-section of intraday and overnight returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 172-194.
  32. Cong Chen & Changsheng Hu & Liang Wu, 2023. "Feedback Trading, Investor Sentiment and the Volatility Puzzle: An Infinite Theoretical Framework," Mathematics, MDPI, vol. 11(14), pages 1-15, July.
  33. Alex Chinco, 2023. "The Ex Ante Likelihood of Bubbles," Management Science, INFORMS, vol. 69(2), pages 1222-1244, February.
  34. Vedolin, Andrea & Maenhout, Pascal & Xing, Hao, 2020. "Generalized Robustness and Dynamic Pessimism," CEPR Discussion Papers 14592, C.E.P.R. Discussion Papers.
  35. Qingbin Gong & Xundi Diao, 2022. "Bounded rationality, asymmetric information and mispricing in financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(1), pages 235-264, July.
  36. Huang, Dayong & Li, Jay Y. & Wu, Kai, 2021. "The effect of oil supply shocks on industry returns," Journal of Commodity Markets, Elsevier, vol. 24(C).
  37. Ricardo Sabbadini, 2018. "Loss Aversion and Search for Yield in Emerging Markets Sovereign Debt," Working Papers, Department of Economics 2018_16, University of São Paulo (FEA-USP).
  38. Jiang, Hao & Li, Sophia Zhengzi & Wang, Hao, 2021. "Pervasive underreaction: Evidence from high-frequency data," Journal of Financial Economics, Elsevier, vol. 141(2), pages 573-599.
  39. Liu, Xufeng & Wan, Die, 2022. "Asymmetric positive feedback trading and stock pricing in China," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  40. Mesly, Olivier, 2023. "Irrational exuberance and deception — Why markets spin out of control," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
  41. Han, Yufeng & Huang, Dashan & Huang, Dayong & Zhou, Guofu, 2022. "Expected return, volume, and mispricing," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1295-1315.
  42. Levent Altinoglu & Jin-Wook Chang, 2022. "Information Externalities, Funding Liquidity, and Fire Sales," Finance and Economics Discussion Series 2022-052, Board of Governors of the Federal Reserve System (U.S.).
  43. Gong, Qingbin & Diao, Xundi, 2023. "The impacts of investor network and herd behavior on market stability: Social learning, network structure, and heterogeneity," European Journal of Operational Research, Elsevier, vol. 306(3), pages 1388-1398.
  44. Nicolás Magner & Jaime F. Lavín & Mauricio A. Valle, 2022. "Modeling Synchronization Risk among Sustainable Exchange Trade Funds: A Statistical and Network Analysis Approach," Mathematics, MDPI, vol. 10(19), pages 1-30, October.
  45. Andrew Y. Chen, 2021. "The Limits of p‐Hacking: Some Thought Experiments," Journal of Finance, American Finance Association, vol. 76(5), pages 2447-2480, October.
  46. Harun, Cicilia A. & Taruna, Aditya Anta & Ramdani,, 2021. "Capturing the nonlinear impact in distress state: Enhancing scenario design of stress test," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 265-288.
  47. Dorota Ciesielska-Maciągowska & Dawid Klimczak & Małgorzata Skrzek-Lubasińska, 2021. "Central and Eastern European CO 2 Market—Challenges of Emissions Trading for Energy Companies," Energies, MDPI, vol. 14(4), pages 1-14, February.
  48. Tobias J. Moskowitz, 2021. "Asset Pricing and Sports Betting," Journal of Finance, American Finance Association, vol. 76(6), pages 3153-3209, December.
  49. Pascal J. Maenhout & Andrea Vedolin & Hao Xing, 2020. "Generalized Robustness and Dynamic Pessimism," NBER Working Papers 26970, National Bureau of Economic Research, Inc.
  50. Kanis Saengchote, 2022. "Cryptocurrency bubbles, the wealth effect, and non-fungible token prices: Evidence from metaverse LAND," Papers 2209.04385, arXiv.org.
  51. Liu, Hongqi & Peng, Cameron & Xiong, Wei A. & Xiong, Wei, 2020. "Resolving the excessive trading puzzle: an integrated approach based on surveys and transactions," LSE Research Online Documents on Economics 118870, London School of Economics and Political Science, LSE Library.
  52. Hongqi Liu & Cameron Peng & Wei A. Xiong & Wei Xiong, 2020. "Taming the Bias Zoo," NBER Working Papers 26911, National Bureau of Economic Research, Inc.
  53. Liyan Yang, 2019. "Loss Aversion in Financial Markets," The Journal of Mechanism and Institution Design, Society for the Promotion of Mechanism and Institution Design, University of York, vol. 4(1), pages 119-137, November.
  54. Brettschneider, Julia & Burro, Giovanni & Henderson, Vicky, 2021. "Wide framing disposition effect: An empirical study," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 330-347.
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