Showing 1 - 10 of 207
This study empirically examines whether spin and tone affect contemporaneous stock returns and volatility. We examine spin and tone of earnings reports from two sources: companies' earnings press releases and the financial news coverage of those releases. Our definition of spin is based on...
Persistent link: https://www.econbiz.de/10012724586
This study empirically examines whether spin in earnings information in the financial press or in company press releases can alter investor behaviour and affect stock returns. Our sample includes 72 companies from the Samp;P 100 over the sample period 2000:Q1 to 2005:Q1. Using intraday stock...
Persistent link: https://www.econbiz.de/10012730791
This study employs text-analysis software to analyze the contents of the Federal Reserve Beige Book summary of national economic and business conditions, with a particular focus on the predictive content of the text. The empirical results suggest that the Beige Book's tone changes in response to...
Persistent link: https://www.econbiz.de/10013138629
We develop a method for constructing prediction intervals for a nonstationary variable, such as GDP. The method uses a factor augmented regression [FAR] model. The predictors in the model includes a small number of factors generated to extract most of the information in a set of panel data on a...
Persistent link: https://www.econbiz.de/10015248117
This paper investigates stock-bond portfolios’ tail risks such as value-at-risk (VaR) and expected shortfall (ES), and the way in which these measures have been affected by the global financial crisis. The semiparametric t-copula is found to be adequate for modelling stock-bond joint...
Persistent link: https://www.econbiz.de/10011141015
This article examines the relationship between the spot and futures prices of WTI crude oil using a sample of daily data. Linear causality testing reveals that futures prices lead spot prices, but nonlinear causality testing reveals a bidirectional effect. This result suggests that both spot and...
Persistent link: https://www.econbiz.de/10011196958
This paper establishes vector autoregressive moving average (VARMA) models for Malaysian monetary policy analysis by efficiently identifying and simultaneously estimating the model parameters using full information maximum likelihood. The monetary literature is largely dominated by vector...
Persistent link: https://www.econbiz.de/10005003386
This paper investigates whether or not there are significant changes in the dependence between the Thai equity market and six Asian markets - namely, Singaporean, Malaysian, Hong Kong, Korean, Indonesian and Taiwanese markets - due to 1997-July financial crisis. If so, this may be an indication...
Persistent link: https://www.econbiz.de/10005087582
Copulas offer a convenient way of modelling multivariate observations and capturing the intrinsic dependence between the components of a multivariate random variable. A semiparametric method for estimating the dependence parameters of copulas was proposed by Genest, Ghoudi and Rivest (1995), in...
Persistent link: https://www.econbiz.de/10005063630
This paper models the dynamics of the adjustment process of Indonesian purchasing power parity (PPP) relative to US, Japan and Singapore by employing a nonlinear framework, which is recently shown to be appropriate in the presence of transaction costs associated with international trade. Using...
Persistent link: https://www.econbiz.de/10005130169