Similar Search Results

Valuing local and dual-class IPOs in the Alternative Investment Market

Wahid, Abdul; Mumtaz, Muhammad Zubair; Mantell, Edmund H. - In: Estudios de economía 47 (2020) 2, pp. 245-271

seasoned equities. In this paper, we address the valuation of IPOs in the Alternative Investment Market, (hereafter the AIM ….) The purpose of this study is to determine the observable factors that affect valuation in the AIM. We apply OLS, LASSO … statistical sample consists of 2,185 IPOs issued on the AIM between 1995 and 2020. Our findings suggest that the market valuation …

Persistent link: https://www.econbiz.de/10012406031

An examination of short-run performance of IPOs using Extreme Bounds Analysis

Mumtaz, Muhammad Zubair; Smith, Zachary A.; Ahmed, … - In: Estudios de economía 43 (2016) 1, pp. 71-95

This paper estimates the short-run performance of IPOs issued on the Karachi Stock Exchange in Pakistan. The present study extends the existing literature concentrating on the degree of underpricing over a 3-month period lasting from the listing date to the 3-month anniversary showing...

Persistent link: https://www.econbiz.de/10011504407

A Survey on the Determination of Nominal Exchange Rate for USD vis-à-vis INR

Pillin, Punit - 2018

In this paper, I have investigated the out of sample forecast performance for a case study on the determination of the nominal exchange rate for USD vis-à-vis IN¬R under VEC, VAR (in first difference) and Bayesian VAR specification with the help of set of economic theories. The forecast...

Persistent link: https://www.econbiz.de/10012910274

Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance

Ferson, Wayne E. - 2003

Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...

Persistent link: https://www.econbiz.de/10014023859

Stock Return Synchronicity and Technical Trading Rules

Kee, Koon Boon - 2014

Persistent link: https://www.econbiz.de/10013069529

The Effect of Macroeconomic Announcements on Credit Markets : An Autometric General-to-Specific Analysis of the Greenspan Era

Forest, James J. - 2018

I show that a congruent, parsimonious, encompassing model discovered using David Hendry's econometric modelling approach and Autometrics can overcome the many inadequacies of the typical static models of US Treasury returns regressed on macroeconomic announcements. The typical specification...

Persistent link: https://www.econbiz.de/10012928522

Technical Appendix for 'Exploring Breaks in the Distribution of Stock Returns : Empirical Evidence from Apple Inc.'

Lleo, Sebastien; Ziemba, William T.; Li, Jessica - 2020

Persistent link: https://www.econbiz.de/10014361898

Machine Learning and the Cross-Section of Stock Returns

Chin, Jern Tat; Lin, Hai; Mei, Yi - 2022

This paper exploits different machine learning models to forecast of stock returns. We find that machine learning models substantially improve the performance of various variables in predicting stock returns. Technical indicators generate a significantly better result than the stock...

Persistent link: https://www.econbiz.de/10014235680

Looking Under the Hood of Data-Mining

Hasler, Mathias - 2022

This paper re-evaluates academic research on 92 cross-sectional stock return predictors. Researchers studying return predictability must make decisions about portfolio construction; for example, whether to rebalance annually or monthly. In sample, the returns of predictor portfolios constructed...

Persistent link: https://www.econbiz.de/10014236170

Complexity in Factor Pricing Models

Didisheim, Antoine; Ke, Shikun; Kelly, Bryan T.; … - National Bureau of Economic Research - 2023

We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance--in terms of SDF Sharpe ratio and test asset pricing errors--is improving in model parameterization (or "complexity"). Our empirical findings verify the...

Persistent link: https://www.econbiz.de/10014372446