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- W2133217428 abstract "In this paper, we introduce a new pseudo-Bayesian model to incorporate the impact of a financial crisis and establish some properties of stock returns and investors' behavior during a financial crisis and subsequent recovery. Our approach provides a quantitative description for investors' representative and conservative heuristics by assuming that the earnings shock of an asset follows a modified random walk model to incorporate the impact of a financial crisison the earnings of a firm. By using this model setup, we first establish some properties on the expected earnings shock and its volatility. Thereafter, we derive some properties of investors' behavior on the stock price and its volatility during a financial crisis and subsequent recovery. Last, we develop properties to explain some market anomalies, including short-term underreaction, long-term overreaction, and excess volatility during a financial crisis and subsequent recovery." @default.
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- W2133217428 date "2012-01-01" @default.
- W2133217428 modified "2023-09-27" @default.
- W2133217428 title "A New Pseudo-Bayesian Model for Investors' Behaviors in Financial Crises" @default.
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- W2133217428 doi "https://doi.org/10.2139/ssrn.2098082" @default.
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