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Using sentiment surveys to predict GDP growth and stock returns

Guzman, Giselle C. - 2008

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10015230635

Using sentiment to predict GDP growth and stock returns

Guzman, Giselle C. - 2007

Persistent link: https://www.econbiz.de/10015233041

Long-Run Risk and Hidden Growth Persistence

Pakos, Michal - 2013

An extensive literature has analyzed the implications of hidden shifts in the dividend growth rate. However, corresponding research on learning about growth persistence is completely lacking. Hidden persistence is a novel way to introduce long-run risk into standard business-cycle models of...

Persistent link: https://www.econbiz.de/10015237225

Social Capital and Stock Price Crash Risk: Cross-Country Evidence

Gaganis, Chrysovalantis; Leledakis, George N.; … - 2024

We use a comprehensive cross-country sample to investigate whether and how the country-level social capital influences the firm-level stock price crash risk. We document a negative and statistically significant effect, which is robust to various tests including IV estimations that account for...

Persistent link: https://www.econbiz.de/10015214574

Heroes or Villains? Culturally endorsed charismatic leadership style and stock price crash risk

Gaganis, Chrysovalantis; Leledakis, George N.; … - 2024

This study examines the association between the culturally endorsed charismatic leadership style in a society and stock price crash risk. The results reveal a positive and statistically significant association, providing support to the arguments about the dark-side view of charismatic...

Persistent link: https://www.econbiz.de/10015214575

U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters

Rossi, Francesco - 2011

We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...

Persistent link: https://www.econbiz.de/10015231736

Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011

Panait, Iulian; Slavescu, Ecaterina Oana - 2012

Our paper investigates the symmetry in stock returns of the 30 most liquid companies traded on Bucharest Stock Exchange during 2000 – 2011 and also the most representative 5 market indices. Our daily data shows that skewness estimates are slightly negative for most indices and individual...

Persistent link: https://www.econbiz.de/10015232035

Forecasting Base Metal Prices with Commodity Currencies

Pincheira, Pablo; Hardy, Nicolas - 2018

zinc. The economic relationship hinges on the present-value theory for exchange rates, a floating exchange rate regime and …

Persistent link: https://www.econbiz.de/10015258752

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 … geometric return. In order to get to the point, F theory, in addition to its own ideas, resorts to information theoretical …-called) concept of the fugue – a novel countercyclical investment strategy borrowed from music theory; as well as an F-theory …

Persistent link: https://www.econbiz.de/10015260519

Overnight Momentum, Informational Shocks, and Late-Informed Trading in China

Gao, Ya; Han, Xing; Li, Youwei; Xiong, Xiong - 2019

Based on high-frequency firm-level data, this paper uncovers new empirical patterns on intraday momentum in China. First, there exists a strong intraday momentum effect at the firm level. Second, the intraday predictability stems mainly from the overnight component rather than the opening...

Persistent link: https://www.econbiz.de/10015265523