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An inflation expectations horserace
Guzman, Giselle C. - 2010
For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...
Persistent link: https://www.econbiz.de/10015230546
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Could Investors’ Expectations Explain Temporal Variations in Hurst’s Exponent, Loci of Multifractal Spectra, and Statistical Prediction Errors? The Case of the S&P 500 Index
Dominique, C-Rene; Rivera-Solis, Luis Eduardo - 2012
Over the periods 1998-2002 and 2009-2011, the S&P-500 Index went from persistence to anti-persistence mode, as measured by the Hurst index H. To uncover the reasons that characterize such a change, this paper uses a simple method that consists in treating quasi self-similar segments of the Index...
Persistent link: https://www.econbiz.de/10015233907
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Banking Stability in the ESG Framework Across Italian Regions
Arnone, Massimo; Leogrande, Angelo; Costantiello, Alberto; … - 2024
This work aims to initiate a reflection on the awareness of environmental, social, and corporate governance issues, summarized in the acronym ESG (Environmental, Social, Governance), among Italian SMEs. The integration of ESG issues into business models has led to an expansion of the risk...
Persistent link: https://www.econbiz.de/10015213734
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Can central bankers’ talk predict bank stock returns? A machine learning approach
Katsafados, Apostolos G.; Leledakis, George N.; … - 2024
We combine machine learning algorithms (ML) with textual analysis techniques to forecast bank stock returns. Our textual features are derived from press releases of the Federal Open Market Committee (FOMC). We show that ML models produce more accurate out-of-sample predictions than OLS...
Persistent link: https://www.econbiz.de/10015214576
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On the Survival of Overconfident Traders in a Competitive Securities Market
Hirshleifer, David; Luo, Guo Ying - 2000
Recent research has proposed several ways in which overconfident traders can persist in competition with rational traders. This paper offers an additional reason: overconfident traders do better than purely rational traders at exploiting mispricing caused by liquidity or noise traders. We...
Persistent link: https://www.econbiz.de/10015216936
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Календарні закономірності розподілу дохідності та волатильності на українському фондовому ринку
Petrushchak, Bohdan - 2011
The theoretical aspects of calendar effects and anomalies on the Ukrainian stock market and the empirical evidences of monthly returns and volatility of PFTS-index are examined. A strong evidence of a calendar effect i.e. December effect on Ukrainian PFTS exchange was found. It can be explained...
Persistent link: https://www.econbiz.de/10015226601
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The calendar regularity of earnings and volatility distribution on the Ukrainian stock market
Petrushchak, Bohdan - 2011
The theoretical aspects of calendar effects and anomalies on the Ukrainian stock market and the empirical evidences of monthly returns and volatility of PFTS-index are examined. A strong evidence of a calendar effect i.e. December effect on Ukrainian PFTS exchange was found. It can be explained...
Persistent link: https://www.econbiz.de/10015227007
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Календарні ефекти та аномалії на українському фондовому ринку: теорія і практика
Petrushchak, Bohdan - 2011
The theoretical aspects of calendar effects and anomalies on the Ukrainian stock market and the empirical evidence of daily, monthly and quarterly returns of PFTS-index and their volatility are examined. A strong evidence of a calendar effect i.e. December effect on Ukrainian PFTS exchange was...
Persistent link: https://www.econbiz.de/10015229490
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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 … 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
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Islamic vs Conventional Canadian stock markets : what difference ?
NEIFAR, MALIKA - 2020
This study empirically assesses the relationship between inflation and stock return in conventional and Islamic Canadian stock markets. The study has covered monthly data for the period 2004:M08−2018 :M4 of canadian economy. We propose a multivariate X-MGARCH or X- MGARCH-X volatility model to...
Persistent link: https://www.econbiz.de/10015267096