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Empirical Asset Pricing via Machine Learning : The Global Edition
Cakici, Nusret; Zaremba, Adam - 2022
We examine the cross-section of international equity risk premia with machine learning methods. We identify, classify, and calculate 88 market characteristics and use them to forecast country returns with various machine learning techniques. While all algorithms produce substantial economic...
Persistent link: https://www.econbiz.de/10013306087
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Are Value, Size and Momentum Premiums in CEE Emerging Markets only Illusionary?
Zaremba, Adam; Konieczka, Przemyslaw - In: Czech Journal of Economics and Finance (Finance a uver) 65 (2015) 1, pp. 84-104
The answer to the question posed in the title is mostly yes. Using sorting and cross-section, we investigate the impact of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania,...
Persistent link: https://www.econbiz.de/10011147544
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It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match
Ehrmann, Michael; Jansen, David-Jan - Bank of Canada - 2014
The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as...
Persistent link: https://www.econbiz.de/10010762049
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It hurts (stock prices) when your team is about to lose a soccer match
Ehrmann, Michael; Jansen, David-Jan - de Nederlandsche Bank - 2014
The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as...
Persistent link: https://www.econbiz.de/10010739160
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The pitch rather than the pit: investor inattention during FIFA World Cup matches
Ehrmann, Michael; Jansen, David-Jan - de Nederlandsche Bank - 2012
At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute-by-minute trading data for fifteen international stock exchanges, we present three key...
Persistent link: https://www.econbiz.de/10009493318
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The News Content of Macroeconomic Announcements: What if Central Bank Communication Becomes Stale?
Ehrmann, Michael; Sondermann, David - In: International Journal of Central Banking 8 (2012) 3, pp. 1-53
How do financial markets incorporate news? This paper argues that one piece of news not only has direct effects on asset prices and market volatility, but it can also alter the relative importance of other news. Studying the reaction of UK short-term interest rates to the Bank of England’s...
Persistent link: https://www.econbiz.de/10010569709
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THE LOW PRICE EFFECT ON THE POLISH MARKET
Zaremba, Adam; Rados³aw ¯mudziñski - In: "e-Finanse" 10 (2014) 1, pp. 69-85
In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with a low nominal price. The research aims to broaden academic knowledge in a few ways. Firstly, we deliver some fresh evidence on the low price effect from the Polish market....
Persistent link: https://www.econbiz.de/10010780754
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The low price effect on the Polish market
Zaremba, Adam; Żmudziński, Radosław - In: e-Finanse: Financial Internet Quarterly 10 (2014) 1, pp. 69-85
In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with a low nominal price. The research aims to broaden academic knowledge in a few ways. Firstly, we deliver some fresh evidence on the low price effect from the Polish market....
Persistent link: https://www.econbiz.de/10011551421
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Paper profits from value, size and momentum: Evidence from the Polish market
Zaremba, Adam; Konieczka, Przemysław - In: e-Finanse: Financial Internet Quarterly 11 (2015) 3, pp. 58-69
In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...
Persistent link: https://www.econbiz.de/10011551459
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The reception of public signals in financial markets - what if central bank communication becomes stale?
Ehrmann, Michael; Sondermann, David - 2009
How do financial markets price new information? This paper analyzes price setting at the intersection of private and … public information, by testing whether and how the reaction of financial markets to public signals depends on the relative … importance of private information in agents’ information sets at a given point in time. It studies the reaction of UK short …
Persistent link: https://www.econbiz.de/10011605123