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Testing for Seasonal Affective Disorder on Selected CEE and SEE Stock Markets
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Testing for Seasonal Affective Disorder on Selected CEE and SEE Stock Markets (2018)Testing for Seasonal Affective Disorder o…Does the weather have impacts on returns and trading activities in order-driven stock markets? Evidence from China (2011)Does the weather have impacts…GARCH Models (2010)GARCH ModelsRobust global mood influences in equity pricing (2007)Robust global mood influences…Stock market returns: A note on temperature anomaly (2004)Stock market returns: A note …Winter Blues: A SAD Stock Market Cycle (2003)Winter Blues: A SAD Stock Mar…Good Day Sunshine: Stock Returns and the Weather (2003)Good Day Sunshine: Stock Retu…Analysis of Financial Time Series (2002)Analysis of Financial Time Se…Losing Sleep at the Market: The Daylight Saving Anomaly (2000)Losing Sleep at the Market: T…Inefficient Markets (2000)Inefficient MarketsStock prices and the Wall Street weather (1993)Stock prices and the Wall Str…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Sensation seeking and financial risk taking in everyday money matters (1991)Sensation seeking and financi…Mood, misattribution, and judgments of well-being: Informative and directive functions of affective states. (1983)Mood, misattribution, and jud…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Structure of Psychological Well-Being. (1970)Availability: A heuristic for judging frequency and probability (1973)Affect, accessibility of material in memory, and behavior: A cognitive loop? (1978)Subjective Well-Being (1984)Happiness is everything, or is it? Explorations on the meaning of psychological well-being. (1989)The Emerging Field of Emotion Regulation: An Integrative Review (1998)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Feeling and thinking: Preferences need no inferences. (1980)Expected stock returns and volatility (1987)Investor Psychology and Asset Pricing (2001)Attention to Global Warming (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)Risk as feelings. (2001)Twitter mood predicts the stock market (2011)Handbook of Social Cognition (2014)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows (2017)Economic Forces and the Stock Market (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Judgment under Uncertainty: Heuristics and Biases (1974)Prospect Theory: An Analysis of Decision under Risk (1979)Common risk factors in the returns on stocks and bonds (1993)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Another look at measures of forecast accuracy (2006)Multivariate GARCH models: a survey (2006)Multivariate Stochastic Volatility: A Review (2006)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1983Mood, misattribution, and judgments of well-being: Informative and directive functions of affective states.5,128 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,841 cited
  • 2003Good Day Sunshine: Stock Returns and the Weather1,930 cited
  • 2000Inefficient Markets1,291 cited
  • 2003Winter Blues: A SAD Stock Market Cycle1,105 cited
  • 2002Analysis of Financial Time Series916 cited
  • 1993Stock prices and the Wall Street weather831 cited
  • 2004Stock market returns: A note on temperature anomaly541 cited
  • 2000Losing Sleep at the Market: The Daylight Saving Anomaly494 cited
  • 2010GARCH Models344 cited
  • 1991Sensation seeking and financial risk taking in everyday money matters162 cited
  • 2007Robust global mood influences in equity pricing112 cited
  • 2011Does the weather have impacts on returns and trading activities in order-driven stock markets? Evidence from China

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