Purpose: In this paper we try to explain US stock market variations and cash flow fundamentals by employing three different book-valued based ratios, First, we explore the explanatory capacity of the simple book-market ratio on time-varying expected returns, and procced on altering its...

The purpose of this research is to examine the impact of sentiment derived from news headlines on the direction of stock price changes. The study examines stocks listed on the WIG-banking sub-sector index on the Warsaw Stock Exchange. Two types of data were used: textual and market data. The...

A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the jump component is persistent when forecasting the oil...

This paper introduces a novel method to extract the sentiment embedded in the Management's Discussion and Analysis (MD &A) section of 10-K filings. The proposed method outperforms traditional approaches in terms of sentiment classification accuracy. Utilizing this method, the MD &A sentiment is...

The out-of-sample R2 is designed to measure forecasting performance without look-ahead bias. However, researchers can hack this performance metric even without multiple tests by constructing a prediction model using the intuition derived from empirical properties that appear only in the test...

The availability of many variables with predictive power makes their selection in a regression context difficult. This study considers robust and understandable low-dimensional estimators as building blocks to improve overall predictive power by optimally combining these building blocks. Our new...

Forecasting the stock returns in the emerging markets is challenging due to their peculiar characteristics. These markets exhibit linear as well as nonlinear features and Conventional forecasting methods partially succeed in dealing with the nonlinear nature of stock returns. Contrarily,...

This study explores the dynamic relationship between the parameters of the yield curve, macrofinancial variables, and the USD/TRY exchange rate in Türkiye, with a particular focus on the period following the steep 2018 currency depreciation. Using the Nelson-Siegel model, we examine the...

Considering the inferior volatility tracking capability of the point-data-based models, we propose using the more informative price interval data and building interval regression models for volatility forecasting. To characterize the heterogeneity of the market and the nonlinearity of...