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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
16 references·5 citing·30 second hop
A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises (2017)A Bayesian approach to excess volatility,…Bubbles and Crashes (2003)Bubbles and CrashesLearning to Be Overconfident (2001)Learning to Be OverconfidentCompeting Theories of Financial Anomalies (2000)Competing Theories of Financi…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…The weighing of evidence and the determinants of confidence (1992)The weighing of evidence and …Herd on the Street: Informational Inefficiencies in a Market with Short‐Term Speculation (1992)Herd on the Street: Informati…Conservatism in human information processing (1982)Conservatism in human informa…On the psychology of prediction. (1973)On the psychology of predicti…PSYCHOLOGICAL STUDY OF HUMAN JUDGMENT: IMPLICATIONS FOR INVESTMENT DECISION MAKING (1972)PSYCHOLOGICAL STUDY OF HUMAN …Belief in the law of small numbers. (1971)Belief in the law of small nu…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …A model of investor sentiment /A model of investor sentiment…A bibliometric visualization of behavioral biases in investment decision-making (2023)A bibliometric visualization …Review on behavioral economics and behavioral finance (2020)Review on behavioral economic…Behavioral data-driven analysis with Bayesian method for risk management of financial services (2020)Behavioral data-driven analys…An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management (2020)An Empirical Analysis of the …The evolution of herd behavior: Will herding disappear over time? (2019)The evolution of herd behavio…Subjective probability: A judgment of representativeness (1972)Availability: A heuristic for judging frequency and probability (1973)Telling more than we can know: Verbal reports on mental processes. (1977)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Prospect Theory: An Analysis of Decision under Risk (1979)The theory of planned behavior (1991)A power primer. (1992)Confirmation Bias: A Ubiquitous Phenomenon in Many Guises (1998)A perspective on judgment and choice: Mapping bounded rationality. (2003)The Cross-Section of Expected Stock Returns (1992)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Judgment under Uncertainty: Heuristics and Biases (1974)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973On the psychology of prediction.6,201 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1971Belief in the law of small numbers.3,244 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 1992The weighing of evidence and the determinants of confidence1,842 cited
  • 2001Learning to Be Overconfident1,664 cited
  • 2003Bubbles and Crashes1,246 cited
  • 1992Herd on the Street: Informational Inefficiencies in a Market with Short‐Term Speculation1,088 cited
  • 1982Conservatism in human information processing1,004 cited

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  • 1972PSYCHOLOGICAL STUDY OF HUMAN JUDGMENT: IMPLICATIONS FOR INVESTMENT DECISION MAKING495 cited
  • 2000Competing Theories of Financial Anomalies468 cited
  • Cited by

    • 2023A bibliometric visualization of behavioral biases in investment decision-making35 cited
    • 2019The evolution of herd behavior: Will herding disappear over time?35 cited
    • 2020Behavioral data-driven analysis with Bayesian method for risk management of financial services25 cited
    • 2020Review on behavioral economics and behavioral finance25 cited
    • 2020An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management25 cited