NDLI: A discussion of Hong-Stein model

Content Provider	Springer Nature Link
Author	Wang, Shuai Zheng, WeiAn
Copyright Year	2012
Abstract	In this paper, we discuss a kind of behavioral asset pricing model, called Hong-Stein model. Although this model succeeded in explaining the momentum and reversal effects, we find it usually reaches two extremes: the absolute value of autocorrelation of return sequence is so large that the direction of returns could be easily forecasted, or the value is so small that the elements in return sequence are almost independent of each other. The empirical results show that these two extremes are not supported by the real market data.
Starting Page	2367
Ending Page	2378
Page Count	12
File Format	PDF
ISSN	16747283
Journal	Science in China Series A: Mathematics
Volume Number	55
Issue Number	11
e-ISSN	18691862
Language	English
Publisher	SP Science China Press
Publisher Date	2012-11-10
Publisher Place	Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	under-reaction and overreaction Hong-Stein model return direction Applications of Mathematics
Content Type	Text
Resource Type	Article
Subject	Mathematics

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A discussion of Hong-Stein model