Search Results - subject:"predictability"

Uncertainty network risk and currency returns

Babiak, Mykola; Baruník, Jozef - 2021

Persistent link: https://www.econbiz.de/10012583340

Uma análise da eficiência no mercado acionário brasileiro

Goularte, Thiago Cyfer; Silveira, Rodrigo Lanna Franco da - In: Análise econômica : revista da Faculdade de Ciências … 39 (2021) 79, pp. 161-186

Persistent link: https://www.econbiz.de/10012631158

Cyclical consumption and expected stock returns : evidence from the Korean capital market

Won, Young W.; Won, Chaehwan; Won, Y. - In: Global business and finance review 26 (2021) 3, pp. 14-32

approaches as follows: After testing the predictability of "cyclical consumption" for the overall market returns, we examine … whether or not there are differential characteristics in return predictability between two capital markets in Korea, KOSPI and …

Persistent link: https://www.econbiz.de/10012695871

Lottery-like preferences and the MAX effect in the cryptocurrency market

Ozdamar, Melisa; Akdeniz, Levent; Sensoy, Ahmet - In: Financial innovation : FIN 7 (2021), pp. 1-27

We investigate the significance of extreme positive returns in the cross-sectional pricing of cryptocurrencies. Through portfolio-level analyses and weekly cross-sectional regressions on all cryptocurrencies in our sample period, we provide evidence for a positive and statistically significant...

Persistent link: https://www.econbiz.de/10012705414

Option return predictability with machine learning and big data

Bali, Turan G.; Beckmeyer, Heiner; Mörke, Mathis; … - 2021 - This version: August 20, 2021

considered alongside option-based characteristics. Finally, we provide compelling evidence that option return predictability is …

Persistent link: https://www.econbiz.de/10012620725

Investor behavior and financial markets

Barahona, Ricardo - 2021

Persistent link: https://www.econbiz.de/10012627389

Multi-horizon equity returns predictability via machine learning

Nechvatalova, Lenka - 2021

We examine the predictability of expected stock returns across horizons using machine learning. We use neural networks …, and gradient boosted regression trees on the U.S. and international equity datasets. We find that predictability of …

Persistent link: https://www.econbiz.de/10012426271

The global determinants of international equity risk premiums

Londono, Juan M.; Xu, Nancy R. - 2021

Persistent link: https://www.econbiz.de/10012590216

Option price implied information and REIT returns

Cao, Jie Jay; Han, Bing; Song, Linjia; Zhan, Xintong - 2021

effects between options and underlying stocks. We investigate stock return predictability by various option price …

Persistent link: https://www.econbiz.de/10012593737

Assessing the predictability of cryptocurrency prices

Abdul-Rahim, Ruzita; Ling, Pick Soon; Muhammad Airil … - In: Malaysian management journal : MMJ 25 (2021), pp. 143-168

Persistent link: https://www.econbiz.de/10012597223