Investors behavior is one of the most important discussion of the financial science in the financial market. Individual investors consider various factors when they buy and sell securities and show different behavior (Rational, Herding, Reaction and Heuristic). The main purpose of this research is to identify and categorize factors which impact individual investors behavior that are known as be...

I investigate the relation between returns and volatility at daily to 1-min intervals for VIX ETNs (like ETFs) and futures. As VIX is the implied volatility index and also known as “fear gauge”, this study is on relation between returns of volatility and volatilities of volatility. I find that, contrary to equity and commodity markets, volatility’s return and volatility exhibit positive relatio...

Assessing the predictive ability of behavioral finance theories using out-of-sample data is important. The potentially boundless set of psychological biases underlying the behavioral explanations for observed security price behavior risk over-fitting theory to data. We test pricing effects attributed to a central psychological bias, representativeness, which underlies many behavioral-finance th...

Follow this and additional works at: http://scholarship.law.upenn.edu/faculty_scholarship Part of the Administrative Law Commons, American Politics Commons, Banking and Finance Commons, Behavioral Economics Commons, Business Law, Public Responsibility, and Ethics Commons, Consumer Protection Law Commons, Finance and Financial Management Commons, Law and Economics Commons, Political Economy Comm...

The perceptual error of the investors is one of the issues discussed in behavioral finance. The perceptual error is a wrong sensual or perceptual error.  That is, what we see or hear does not match with the reality. Regarding the fact that the perception of individuals is affected by their worldview and beliefs and religious attitudes can also affect their viewpoint, in this study, the relation...

Recently, understanding the anomalies in financial markets have severely chal-lenged the efficient market hypothesis (EMH). The price momentum is one of the anomalies described as the unexplained short-term return by Fama and French (1996). The present research strives for modeling the price momentum of winner stock in the Iranian capital market. The grounded theory method was used to explain t...