Listar Dpto. Gestión de Empresas - Enpresen Kudeaketa Saila por tema "Behavioral finance"

Does herding affect volatility? Implications for the Spanish stock market

Blasco de las Heras, Natividad; Corredor Casado, María Pilar

; Ferreruela Garcés, Sandra (Taylor & Francis, 2012) Artículo / Artikulua

According to rational expectation models, uninformed or liquidity trading make market price volatility rise. This paper sets out to analyze the impact of herding, which may be interpreted as one of the components of ...

The effect of US holidays on European markets: when the cat's away...

Casado, Jorge

; Muga Caperos, Luis Fernando

; Santamaría Aquilué, Rafael

(Wiley, 2013) Artículo / Artikulua

This paper presents evidence of the existence of a return effect on European stock markets coinciding with NYSE holidays, which is particularly marked after positive closing returns on the NYSE the previous day. The effect ...

The impact of investor sentiment on stock returns in emerging markets. The case of Central European markets

Corredor Casado, María Pilar

; Ferrer Zubiate, Elena

; Santamaría Aquilué, Rafael

(Taylor & Francis, 2015) Artículo / Artikulua

This paper studies the effect of investor sentiment on stock returns in three Central European markets: the Czech Republic, Hungary and Poland. The results show that sentiment is a key variable in the prices of stocks ...

Market sentiment: a key factor of investors' imitative behaviour

Blasco de las Heras, Natividad; Corredor Casado, María Pilar

; Ferreruela Garcés, Sandra (Wiley, 2012) Artículo / Artikulua

The aim of this paper is to explore herding behavior among investors in order to determine its rational and emotional component factors and identify relationships among them. We apply causality tests to evaluate the impact ...

Momentum and default risk. Some results using the jump component

González Urteaga, Ana

; Muga Caperos, Luis Fernando

; Santamaría Aquilué, Rafael

(Elsevier, 2015) Artículo / Artikulua

In this paper we separate the total stock return into its continuous and jump component to test whether stock return predictability should be attributed to omitted risk factors or behavioral finance theories. We extend ...