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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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Market impact of government communication: The case of presidential tweets
Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; … - 2021
and textual sentiment of 1,400 economy-related tweets to investigate whether they contain relevant information for …
Persistent link: https://www.econbiz.de/10012648565
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Market impact of government communication : the case of presidential tweets
Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; … - 2021
and textual sentiment of 1,400 economy-related tweets to investigate whether they contain relevant information for …
Persistent link: https://www.econbiz.de/10012643914
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A modern take on market efficiency : the impact of Trump's tweets on financial markets
Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; … - 2021
We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its … investigate whether the tweets contain relevant information for financial markets, i.e. whether they affect market returns …-existing market trends and therefore do not provide material new information that would influence prices or trading. We show that past …
Persistent link: https://www.econbiz.de/10012508898
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The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017
This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding of the causes of systematic risk and shows that (i)...
Persistent link: https://www.econbiz.de/10011598484
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The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
Billio, Monica - 2017
This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding of the causes of systematic risk and shows that (i)...
Persistent link: https://www.econbiz.de/10012963394
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The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017 - This version: October 2016
This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding of the causes of systematic risk and shows that (i)...
Persistent link: https://www.econbiz.de/10011598385
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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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Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - Research Center SAFE (Sustainable Architecture for … - 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a detailed, quote-level dataset of the largest interdealer...
Persistent link: https://www.econbiz.de/10011252511
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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