WOW !! MUCH LOVE ! SO WORLD PEACE !
Fond bitcoin pour l'amélioration du site: 1memzGeKS7CB3ECNkzSn2qHwxU6NZoJ8o
  Dogecoin (tips/pourboires): DCLoo9Dd4qECqpMLurdgGnaoqbftj16Nvp


Home | Publier un mémoire | Une page au hasard

 > 

Rendement et volatilité en présence de noise traders

( Télécharger le fichier original )
par Ilef Ben Hadj Ayed
Faculté des Sciences Economiques et de Gestion de Mahdia - mastère de recherche en finance  2012
  

précédent sommaire suivant

Extinction Rebellion

Bibliographie

1. Arms, R.W. (1989). The arms index (TRIN): An introduction to the volume analysis of stock and bond markets, McGraw-Hil companies.

2. Baker, M., & Wurgler, J. (2006). Investor sentiment and cross-section of stock returns, Journal of finance, vol.LXI, No°4 p 61.

3. Barberis, N., Schleifer, A., & Vishney, R. (1998). A model of investor sentiment, University of Chikago, Harvard university, and university of chikago.

4. Brown, G.W., & Cliff, M.T. (2004). Investor sentiment and the near-term stock market, Journal of empirical finance, vol.11, pp.1-27.

5. Brown, G.W. (1990). Volatility, sentiment and noise traders, financial analysts journal, p.55-26

6. Brown, G.W., & Cli?, M.T. (1999). Sentiment and the stock market, Working paper. University of North.

7. Brown, P.R., Nick, C., Raymond, D.S.R., & Terry, S.W (2002). The reach of the disposition effect: large sample evidence across investor classes, Working paper, Lancaster university.

8. Chen, T.S., & Chien, C.C. (2011). Size effect in January and cultural influences in an emerging stock market: The perspective of behavioral finance. Pacific-Basin Finance Journal, vol.19, p. 208-229.

9. Cross, F. (1973). The behavior of stock prices on Fridays and Mondays,Financial analysts Journal, p. 67-69.

10. Daniel, K.D., Hirschleifer, D., & Subramanyam, A. (1998), Investor psychology and security market under and overreactions, Journal of finance, vol. 53,n°6, pp.1839-885.

11. DeLong, J.B., Shleifer, A., Summers, L.G., & Waldmann, R.J. (1990). Noise trader risk in ?nancial markets. Journal of Political Economy , vol. 98 n°4, pp.703-738.

12. DeBondt, W.F.M., & Thaler, R.H. (1985). Does the stock-market overreact?, Journal of finance, vol.40,n°3,p.793-805.

13. Engle, R.F. (1982). Modèles autorégressifs conditionnellement hétéroscèdastiques.

14. Fama, E.F. (1991). Efficient capital markets II, Journal of Finance, vol 46, p.1575-1617.

15. Fama, E.F. (1970). Efficient capital markets: a review of theory and empirical work, Journal of Finance, vol 25, p.383-417.

16. Fama, E. F. (1965). The behavior of stock market prices, Journal of Business, vol.38, p. 34-105.

17. French, K.R. (1980). Stock returns and the weekend effect, Journal of financial economics, vol n° 8, p.55-69.

18. Gibbons, M., & Hess, P. (1981). Day of the week effects and asset returns, Journal of business, p.579-596.

19. Gillet, R. (1991). Efficience informationnelle du marché boursier: vérification empirique et implications théoriques, Louvain Economic Review, vol.57. N°.3, p.297-308.

20. Hamon, J., & Jacquillat, B. (1992). Le marché français des actions, Etudes empiriques, p.1977-1991,Paris, PUF, Finance.

21. Jarfe, J.F. (1974). Special information and insider trading, Journal of business, vol.47,p.410-428.

22. Jacquillat & Slonick, (1989), Marchés financiers: gestion de portefeuille et des risques

23. James, S.D., David, R.P., & Colby, W. (2010). Confidence, opinions of market efficiency, and investment behavior of finance professors, Journal of financial markets, vol n°13, p.174-195.

24. Jensen, C.M. (1978). Some anomalous evidence regarding market efficiency, Journal of Financial Economics, No.6, p.95-102.

25. John, M. (1961). «Rational Expectations and the Theory of Price Movements», Econometrica, Vol. 29, No. 3, p. 315-335.

26. Kahenman, D., & Tversky, A. (1979). Prospect theory: an analysis of Decision under risk, Econometrica,vol. 47, No.2. (Mar 1979), pp.263-292.

27. Lee, W.Y., Jiang, C.X., & Indro, D.C. (2002). Stock market volatility, excess returns, and the role of investor sentiment, journal of banking and finance, No.26, p. 2277-2299.

28. Lee, C.M.C., Schleifer, A., & Thaler, R.H. (1991). investor sentiment and the Closed-End Fund Puzzle, Journal of finance, vol.xlvi. N°1.

29. Neal, R., & Wheatley, S.M. (1998). Do measures of sentiment predict returns?, Journal of financial and quantitative analysis, Vol.33, N°4, p.523-547.

30. Patell, J., & Wolfson, M. (1984). The intraday speed of adjustment of stock prices to earnings and dividend announcements, Journal of Financial Economics,Vol.13, p.223-252.

31. Rozeff, M.S., & Kinney, W.R. (1976). Capital market seasonality: the case of stock returns. Journal of Financial economics,vol.3,n°4,p.379-402.

32. Sameulson, P.A. (1965). Proof that properly anticipated prices fluctuate randomly, Industrial management review,vol.6,p.41-49.

33. Schiller, R.J. (1981). The use of volatility measures in assessing market efficiency, Journal of Finance, Vol, No 36, p. 291-304

34. Schiller, R.J. (1989). Market volatility (MIT Press, Cambridge, MA).

35. Schwert, G.W. (1989). Why does stock market volatility change over time?,Journal of Finance , Vol,44, p.1115-1153.

36. Sherfin, H., & Statma, M. (1994). Behavioral capital asset pricing theory, Journal of finance and quantitative analysis, vol 29.NO.3, September 1994.

37. Stock of the log run Siegel, J. (1994)

38. Wang. Y.H., Keswani, A., & Taylor, S.J. (2006). the relationship between sentiment, returns and volatility, International journal of forecasting, Vol,22, p.109-123.

39. Zhang, Q., & Yang, S. (2009). Noise Trading, Investor Sentiment Volatility, and stock returns, School of Finance, Shanghai Institute of Foreign Trade, Shanghai 201620, China.

Sites internet:

http://finance.yahoo.com/

http://www.federalreserve.gov/econresdata/default.htm

précédent sommaire suivant






Extinction Rebellion





Changeons ce systeme injuste, Soyez votre propre syndic





"Des chercheurs qui cherchent on en trouve, des chercheurs qui trouvent, on en cherche !"   Charles de Gaulle