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Die Theorie der fairen geometrischen Rendite
Sonntag, Dominik - 2018
The theory of fair geometric returns, F theory for short, rejects the generally accepted notion that volatility is the risk of risky assets. Instead, it claims that capital market volatility, in turn, constitutes the maximum achievable geometric return. In order to get to the point, F theory, in...
Persistent link: https://www.econbiz.de/10015260519
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The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis
Nath, Golaka - 2013
Forward exchange rate bias explanation generally falls into two categories – assumption of rational expectation resulting in a risk premium and expectation errors which is systematic. The paper tests the bias in the Indian forward exchange markets using one-month and three month forward...
Persistent link: https://www.econbiz.de/10015239737
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Brent nefti opsiyonlarından neytral riskli ehtimal paylanmasının əldə olunması
Ahmadov, Vugar; Huseynov, Salman; Mammadov, Fuad; … - 2015
In this study, we estimate a risk-neutral implied probability distribution using American call (put) options on Brent … (1997). One advantage of probability distribution estimation is that besides providing us with average market expectation … employed for the estimations of implied probability distribution and case study analysis deliver plausible and convincing …
Persistent link: https://www.econbiz.de/10015248427
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The Effects of Investors' Information Acquisition On Sell-Side Analysts' Forecast Bias
Astaiza-Gómez, José Gabriel - 2022
In this research I empirically study the effects of information acquisition by investors or traders on analysts' forecast bias. Based on the theoretical literature on sell-side analysts, I argue that forecast bias is correlated to investors' information gathering in two opposite directions. On...
Persistent link: https://www.econbiz.de/10015267368
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The Effects of Investors' Information Acquisition On Sell-Side Analysts Forecast Bias
Astaiza-Gómez, José Gabriel - 2021
In this research I empirically study the effects of information acquisition by investors or traders on analysts' forecast bias. Based on the theoretical literature on sell-side analysts, I argue that forecast bias is correlated to investors' information gathering in two opposite directions. On...
Persistent link: https://www.econbiz.de/10015255821
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Seasonal cycles in the housing market
Selcuk, Cemil - 2012
The housing market exhibits a puzzling yet repetitive seasonal boom and bust cycle where prices and trade volume rise in summers and fall in winters. This paper presents a search model that analytically generates the observed deterministic cycle.
Persistent link: https://www.econbiz.de/10015230278
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Motivated Sellers & Predatory Buyers
Selcuk, Cemil - 2012
We develop an equilibrium search model of the housing market where sellers may become distressed as they are unable to sell. A unique steady state equilibrium exists where distressed sellers attempt fire sales by accepting prices that are substantially below fundamental values. During periods...
Persistent link: https://www.econbiz.de/10015230279
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Performance evaluation of judgemental directional exchange rate predictions
Pollock, Andrew C.; Macaulay, Alex; Thomson, Mary E.; … - 2005
A procedure is proposed for examining different aspects of performance for judgemental directional probability … the existing accuracy measures, enabling detailed comparisons of probability forecasts with ex-post empirical … directional probability exchange rate forecasts for the US Dollar/Swiss Franc from 23/7/96 to 7/12/99 and the findings are …
Persistent link: https://www.econbiz.de/10009435350
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The influence of the forecast horizon on judgemental probability forecasts of exchange rate movements
Thomson, Mary E.; Pollock, Andrew C.; Henriksen, Karen B.; … - 2004
An experiment is reported which compares directional forecasting performance of experts, novices and simple statistical … models over three time horizons on a task involving probabilistic forecasts of exchange rate movements. Probability …
Persistent link: https://www.econbiz.de/10009435351
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Statistical Validation of Engineering and Scientific Models: A Maximum Likelihood Based Metric
HILLS, RICHARD GUY; TRUCANO, TIMOTHY G. - 2008
and prediction uncertainty with different probability structures. Several examples are presented utilizing this metric. We …
Persistent link: https://www.econbiz.de/10009435763