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The Effects of Investors' Information Acquisition On Sell-Side Analysts Forecast Bias

Astaiza-Gómez, José - 2021

In this research I empirically study the effects of information acquisition by investors or traders on analysts' forecast bias. Based on the theoretical literature on sell-side analysts, I argue that forecast bias is correlated to investors' information gathering, in two opposite directions. On...

Persistent link: https://www.econbiz.de/10013220851

Security Analysts’ Target Prices and Takeover Premiums

Gerritsen, Dirk - 2016

Most existing studies conclude that the accuracy of analysts' target prices is questionable. In forecasting target prices, analysts estimate a future stock price under the constraint of a time frame of usually 12 months. We exclude this source of uncertainty by focusing on valuations in takeover...

Persistent link: https://www.econbiz.de/10013005439

Decomposing time-frequency relationship between interest rates and share prices in India through wavelets

Tiwari, Aviral Kumar - In: Economia internazionale 66 (2013) 4, pp. 515-531

Persistent link: https://www.econbiz.de/10010250728

When and why do stock and bond markets predict US economic growth?

McMillan, David G. - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 331-343

Persistent link: https://www.econbiz.de/10012655482

Estimating the volatility of asset pricing factors

Becker, Janis; Leschinski, Christian - 2018 - This version: May 20, 2018

Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...

Persistent link: https://www.econbiz.de/10011860248

Accuracy in risk estimation based on simple SMA and EWNA models : evidence from Macedonain Stock Market

Angelovska, Julijana; Ivanovski, Zoran - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 17-27

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of great importance to theorists and practitioners. Models used to estimate volatility forecasts are translated into better pricing of stocks and better risk management. The aim...

Persistent link: https://www.econbiz.de/10011901688

Impact of Investors’ Sentiments on Selected Sectoral Indices Return Volatility : Special Reference to NSE

Sharma, Dr. Pooja Chaturvedi - 2021

The study attempts to assess the influence of investor sentiment onselected sectoral indices returns volatility in the Indian stock market over theperiod from 2015-2019. GARCH, EGARCH, and Bivariate VAR models wereapplied for data analysis after checking unit root issue of the data. Nine...

Persistent link: https://www.econbiz.de/10014351806

Forecasting Earnings Variance : Quantile-Based Vs. Residuals-Based Variance Proxies

Brunke, Luca - 2023

The aim of this study is to analyze different forecasting approaches for the variance of future earnings, compare the respective forecast accuracy and test whether the forecasted information are relevant to equity or debt markets. The results, in line with former research, indicate that...

Persistent link: https://www.econbiz.de/10014355565

Price index modeling and risk prediction of sharia stocks in Indonesia

Hersugondo; Ghozali, Imam; Handriani, Eka; Trimono, Trimono - In: Economies : open access journal 10 (2022) 1, pp. 1-13

loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach … 2.03%. Then, using VaR with a Monte Carlo Simulation approach, the loss risk prediction for 16 August 2021 (one … determine the prediction of JKII price and the loss risk through GBM and VaR using a Monte Carlo simulation approach. …

Persistent link: https://www.econbiz.de/10012800645

Rationality of Deviations between Fundamental Valuations, and Market Valuations

Obrimah, Oghenovo A. - 2019

Using data for three publicly quoted firms, all of whom operate within the upstream oil industry, this study provides evidence for feasibility of incidence of contradictions (`contradictions of ranking') between a ranking of fundamental valuations, and corresponding ranking of market valuations....

Persistent link: https://www.econbiz.de/10012899514

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