Sungkyunkwan University - Department of Economics
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Beta, Herding, Overconfidence, Sentiment, Market Crises, Low-beta Anomaly
Momentum premium, Arbitrage, High-tech and Telecom Bubble
Asset Price Testing, Average F test, Data-Mining, Empirical Factors
Share Prices, Cross-Sectional Returns, Nominal Price Illusion
Overconfidence, Self-attribution bias, Value anomaly, Return reversals
Loss Aversion Utility, Prospect Theory, Asset Allocation
Cross-Sectional Returns, Liquidity, Value Premium
liquidity risk, commercial real estate
liquidity risk, commercial real estate, time on market, transaction process, UK
Smoothing, Nonsynchronous Appraisal, Long Memory
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: reec.
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Volatility, GARCH, Structural Breaks, Persistence
linear factor model, asset pricing, Bayesian, variable selection
F Test, Linear Factor Model, Average F Test.
Common components, Stock-Specific components, Fama-French factors, Macroeconomic factors
Value of Information, CAPM, Fama-French Model
Stock Splits, Market Efficiency, Underreaction
Loss Aversion, Bayesian Rule, Relative Optimism, Asset Allocation
Irrational exuberance, macroeconomic variables, stock price, equilibrium
Behavioral Finance, Mutual Funds
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: SSRN-id790644.
Performance measurement, loss-aversion, prospect theory, closed-end-fund puzzle
Beta, Cross-sectional Asset Pricing
Overconfidence, Ambiguity aversion, Excessive arbitrage trading, Market efficiency
Momentum return, Common Components, Market States, Fama-French factors, Macroeconomic factors
Value premium, Regime switching, Risk measures, Biased self-attribution
Smoothing, Time-varying model, Fundamentals
Absolutely regular mixing, CLT (FCLT), Discount sums, Moving average
File name: SSRN-id541084.
Herding, heterogenous beliefs, cross-sectional volatility
Property pricing model, Deposit to price ratio, Antichresis lease, Chonsei
Illiquidity costs, Residential properties, Flight to Quality
File name: jbfa.
File name: j-6229.
Commercial real estate, smoothing, ARFIMA
Overconfidence, Contrarian behavior, Response to Signal
Overconfidence, Housing Returns, Bayesian Updating, Epstein-Zin Utility
Herd behavior, Cross-sectional standard deviation, Network analysis
Loss Aversion; Cultural factors; Reference-Dependent Utility; Pension Funds
File name: REEC.
Large deviation theory, Mortgage loans, Optimal portfolio, Regional allocation
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