European equity markets: Who is the truly representative investor?

Rojo-Suárez, Javier; Alonso‐Conde, Ana Belén; Pozo, Ricardo Ferrero

doi:10.1016/j.qref.2019.02.003

Cited by 4 publications

(2 citation statements)

References 51 publications

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“…A parallel is drawn by Von Beschwitz and Massa (2020) who highlights that short sellers are believed to be professionals, can be influenced by their emotions and past gains like regular investors or traders, and can be influenced by behavioural biases like the disposition effect. Aligning with this, Suárez et al (2019) proposed that the future of economic analysis will likely see an merger of conventional models with more nuanced perspectives to effectively summarize consumer behaviour's complex nature. As age and financial conditions progress, Cocco et al (2005) highlight a visible transition in investment strategies from growth-centric to valuebased approaches.…”

Section: Behavioural Factors In Financementioning

confidence: 99%

Exploring the Nexus of Capital Market and Investor Behaviour: A Systematic Literature Review

Gokhale,

Mittal

2024

IJEFI

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This review paper delves into the intricate interplay between capital markets, investor protection, portfolio strategies, and behavioural aspects in investments. The VOSviewer 1.6.19 software is utilised to perform a bibliometric analysis and a exhaustive systematic literature review on a sample of 248 papers published in journals in Web of Science databases. Our comprehensive analysis reveals the emergence of key themes, shedding light on the critical role of behavioural finance in shaping investment choices and outcomes. We explore how investor behaviour often deviates from traditional models of market efficiency and how these deviations impact portfolio construction and investment strategies. Our paper contributes to a deeper comprehension of the complexities that drive investment decisions and helps academics, society, investors, and regulators by providing a structured analysis of literature strands. Builds a basis for better regulation and protection of investors in the capital markets, with relevant information for future studies on investor behaviour.

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Section: Behavioural Factors In Financementioning

confidence: 99%

Exploring the Nexus of Capital Market and Investor Behaviour: A Systematic Literature Review

Gokhale,

Mittal

2024

IJEFI

View full text Add to dashboard Cite

show abstract

“…In this regard, ref. [43] suggests a scaled consumption model that uses the consumer confidence index (CCI) as an instrument. The authors show that the consumption model scaled by the CCI performs significantly better than its unscaled counterpart in the European equity market, concluding that the CCI is a feasible instrument for capturing the conditioning information used by investors.…”

Section: Theoretical Backgroundmentioning

confidence: 99%

Nuclear Hazard and Asset Prices: Implications of Nuclear Disasters in the Cross-Sectional Behavior of Stock Returns

Alonso‐Conde

Rojo-Suárez

2020

Sustainability

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Using stock return data for the Japanese equity market, for the period from July 1983 to June 2018, we analyze the effect of major nuclear disasters worldwide on Japanese discount rates. For that purpose, we compare the performance of the capital asset pricing model (CAPM) conditional on the event of nuclear disasters with that of the classic CAPM and the Fama–French three- and five-factor models. In order to control for nuclear disasters, we use an instrument that allows us to parameterize the linear stochastic discount factor of the conditional CAPM and transform the classic CAPM into a three-factor model. In this regard, the use of nuclear disasters as an explanatory variable for the cross-sectional behavior of stock returns is a novel contribution of this research. Our results suggest that nuclear disasters account for a large fraction of the variation of stock returns, allowing the CAPM to perform similarly to the Fama–French three- and five-factor models. Furthermore, our results show that, in general, nuclear disasters are positively related to the expected returns of a large number of assets under study. Our results have important implications for the task of estimating the cost of equity and constitute a step forward in understanding the relationship between equity risk premiums and nuclear disasters.

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Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion

Lago-Balsalobre

Rojo-Suárez

Alonso‐Conde

2023

The North American Journal of Economics and Finance

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European equity markets: Who is the truly representative investor?

Cited by 4 publications

References 51 publications

Exploring the Nexus of Capital Market and Investor Behaviour: A Systematic Literature Review

Exploring the Nexus of Capital Market and Investor Behaviour: A Systematic Literature Review

Nuclear Hazard and Asset Prices: Implications of Nuclear Disasters in the Cross-Sectional Behavior of Stock Returns

Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion

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