Search Results - subject:"predictability"

Market Efficiency in the Age of Big Data

Martin, Ian; Nagel, Stefan - 2019

reject the no-predictability null with high probability, despite the fact that investors optimally use the information …

Persistent link: https://www.econbiz.de/10012179814

The memory of beta factors

Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - 2019

Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...

Persistent link: https://www.econbiz.de/10012213531

Dynamic Network Perspective of Cryptocurrencies

Guo, Li; Tao, Yubo; Härdle, Wolfgang Karl - 2019

consistently. We show that return inter-predictability and crypto characteristics, including hashing algorithms and proof types …

Persistent link: https://www.econbiz.de/10012433223

Media-expressed tone, Option Characteristics, and Stock Return Predictability

Chen, Cathy Yi-Hsuan; Fengler, Matthias R.; Härdle, … - 2019

We distill tone from a huge assortment of NASDAQ articles to examine the predictive power of media-expressed tone in single-stock option markets and equity markets. We find that (1) option markets are impacted by media tone; (2) option variables predict stock returns along with tone; (3) option...

Persistent link: https://www.econbiz.de/10012433229

What makes cryptocurrencies special? Investor sentiment and return predictability during the bubble

Chen, Cathy Yi-Hsuan; Després, Roméo; Guo, Li; … - 2019

The 2017 bubble on the cryptocurrency market recalls our memory in the dot-com bubble, during which hard-to-measure fundamentals and investors’ illusion for brand new technologies led to overvalued prices. Benefiting from the massive increase in the volume of messages published on social media...

Persistent link: https://www.econbiz.de/10012433230

What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets

Haab, David R.; Nitschka, Thomas - In: Swiss Journal of Economics and Statistics 155 (2019) 16, pp. 1-17

Motivated by recent US evidence, we evaluate the predictive power of changes in the weight of large firms in the aggregate stock market ("Goliath vs David" (GVD)) for Swiss stock market returns and bond market returns. Previous research suggests that the asset return dynamics in the US and...

Persistent link: https://www.econbiz.de/10013205783

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012611108

The cross section of country equity returns: A review of empirical literature

Zaremba, Adam - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 1-26

The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns …

Persistent link: https://www.econbiz.de/10012611218

Are pain and suffering awards (un-)predictable? Evidence from Germany

Flatscher-Thöni, Magdalena; Leiter, Andrea M.; Winner, … - In: DANUBE: Law, Economics and Social Issues Review 10 (2019) 3, pp. 199-219

-specific characteristics and how important these factors are relative to each other. To uncover the predictability of these awards, we rely on …

Persistent link: https://www.econbiz.de/10012622645

THE IMPACT OF STANDARDIZATION ON OPERATIONAL PERFORMANCE IN A NETWORKED GLOBAL SUPPLY CHAIN: A CASE STUDY

Bigley, Joel D. - 2019

Standardization reduces complexity and increases predictability in a global supply chain. This predictability can be … foundation of predictability a supply chain can expand, take on new workflows, and update technology. Best practices must be … performance understanding and supply chain predictability can also aid with organizational change success increasing the assurance …

Persistent link: https://www.econbiz.de/10012064046