16-003/III - A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises

Authors

Xu Guo, Nanjing University of Aeronautics and Astronautics; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Wing-Keung Wong, Hong Kong Baptist University, Hong Kong, PR China; Lixing Zhu, Hong Kong Baptist University, Hong Kong, PR China
Publication date

January 15, 2016

Keywords

Bayesian model; representative and conservative heuristics; excess volatility; underreaction; overreaction; magnitude effects; financial crises
JEL

C11, G01, G11

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