Search Results - subject:"predictability"

Very fast money: High-frequency trading on the NASDAQ

Carrion, Allen - In: Journal of Financial Markets 16 (2013) 4, pp. 680-711

This paper provides evidence regarding high-frequency trader (HFT) trading performance, trading costs, and effects on market efficiency using a sample of NASDAQ trades and quotes that directly identifies HFT participation. I find that HFTs engage in successful intra-day market timing, spreads...

Persistent link: https://www.econbiz.de/10010869362

The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization

Nitschka, Thomas - In: Review of Financial Economics 22 (2013) 3, pp. 118-124

In the period from 1880 to 1913, time-varying German and British stock market returns are related to business cycle variables such as the deviation of industrial production from trend. Common British and German business cycle dynamics Granger cause stock returns and explain more than 20% of time...

Persistent link: https://www.econbiz.de/10010875042

Asset-Pricing Implications of Biologically Based Non-Expected Utility

Iantchev, Emil - In: Review of Economic Dynamics 16 (2013) 3, pp. 497-510

, unlike in the expected utility case, have the correct pattern of predictability; (iii) in the cross section, excess returns …

Persistent link: https://www.econbiz.de/10010856600

Dispersed communication by central bank committees and the predictability of monetary policy decisions

Ehrmann, Michael; Fratzscher, Marcel - In: Public Choice 157 (2013) 1, pp. 223-244

members improves the predictability of monetary policy decisions significantly. This effect is sizeable as communication …

Persistent link: https://www.econbiz.de/10010864384

Predictability and Persistence of the Price Movements of the S&P/Case-Shiller House Price Indices

Schindler, Felix - In: The Journal of Real Estate Finance and Economics 46 (2013) 1, pp. 44-90

This paper examines persistence in price movements and predictability of the US housing market both on a local level … approaches to exclude potential biases across local markets and provide trading strategies to compare predictability across …

Persistent link: https://www.econbiz.de/10010866934

A Time Series Analysis of U.K. Construction and Real Estate Indices

Belaire-Franch, Jorge; Opong, Kwaku - In: The Journal of Real Estate Finance and Economics 46 (2013) 3, pp. 516-542

This study assess the nonlinear behavior of U.K. Construction and Real Estate indices. Standard unit root tests show that both time series are I(1) processes. However, the empirical results show that the returns series for both indices deviate from the null hypothesis of white noise. Moreover,...

Persistent link: https://www.econbiz.de/10010866953

Oil price uncertainty and sovereign risk: Evidence from Asian economies

Sharma, Susan Sunila; Thuraisamy, Kannan - In: Journal of Asian Economics 28 (2013) C, pp. 51-57

countries. We use the Westerlund and Narayan (2011, 2012) predictability test that accounts for any persistence in and …

Persistent link: https://www.econbiz.de/10010868889

Intertemporal CAPM with Conditioning Variables

Maio, Paulo - In: Management Science 59 (2013) 1, pp. 122-141

This paper derives and tests an intertemporal capital asset pricing model (ICAPM) based on a conditional version of the Campbell-Vuolteenaho two-beta ICAPM (bad beta, good beta (BBGB)). The novel factor is a scaled cash-flow factor that results from the interaction between cash-flow news and a...

Persistent link: https://www.econbiz.de/10010990613

What drives currency predictability?

Potì, Valerio; Siddique, Akhtar - In: Journal of International Money and Finance 36 (2013) C, pp. 86-106

In this paper, we study predictability of exchange rates and explore determinants of its dynamics over time. We model … the admissible amount of predictability in two ways, each corresponding in a stylized manner to a broad class of rational … the former class of models but little evidence against the latter, except that predictability itself is predictable. Our …

Persistent link: https://www.econbiz.de/10011048444

Exchange rate predictability and a monetary model with time-varying cointegration coefficients

Park, Cheolbeom; Park, Sookyung - In: Journal of International Money and Finance 37 (2013) C, pp. 394-410

Many studies have pointed out that the underlying relations and functions for the monetary model (e.g. the PPP relation, the money-demand function, monetary policy rule, etc.) have undergone parameter instabilities and that the relation between exchange rates and macro fundamentals is unstable...

Persistent link: https://www.econbiz.de/10011048479