| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5085077 | International Review of Financial Analysis | 2012 | 9 Pages |
Abstract
⺠We provide a direction of incorporating market sentiments in asset pricing models. ⺠We propose a transformation on original market returns. ⺠We examine the market efficiency using a statistical measure, Hurst exponent. ⺠The model is applicable for inefficient markets and may be useful for investors.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Debasish Majumder,