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We use empirical models to examine the predictive ability of dividend and earnings yields for long-term stock returns. Results show that dividend and earnings yields share a similar predictive power for future stock returns and growth. We find that the predictive power of dividend yields...
Persistent link: https://www.econbiz.de/10005667699
In this paper, we apply the neural network method to small business lending decisions. We use the neural network to classify the loan applications into the groups of acceptance or rejection, and compare the model results with the actual decisions made by loan officers. Data were collected from a...
Persistent link: https://www.econbiz.de/10005673848
A dynamical model is proposed to study sediment transport in river networks. A river can be divided into segments by the injection of branch streams of higher rank. The model is based on the fact that in a real river, the sediment-carrying capability of the stream in the ith segment may be...
Persistent link: https://www.econbiz.de/10011059311
Based on local erosion rule and fluctuations in rainfall, geology and parameters of a river channel, a generalized Langevin equation is proposed to describe the random prolongation of a river channel. This equation is transformed into the Fokker–Plank equation to follow the early evolution of...
Persistent link: https://www.econbiz.de/10011060801
We examine the relative yields of Treasuries and municipals using a generalized model that includes liquidity as a state factor. Using a unique transaction dataset, we are able to estimate the liquidity risk of municipals and its effect on bond yields. We find that a substantial portion of the...
Persistent link: https://www.econbiz.de/10005514158
We examine the composition of return volatility, serial correlation, and trading costs before and after decimalization on the New York Stock Exchange. We decompose the variance of price changes into components associated with public news, rounding errors, and market-making frictions. We find...
Persistent link: https://www.econbiz.de/10005523433
We report further evidence of the difference in execution costs between Nasdaq and the NYSE before and after the 1997 market reforms. We find that informed trading costs are consistently higher on Nasdaq both before and after the reforms. In the pre-reform period the Nasdaq-NYSE disparity in...
Persistent link: https://www.econbiz.de/10005523439
Persistent link: https://www.econbiz.de/10005372496
Persistent link: https://www.econbiz.de/10005378531
Previous studies have found that common factors explain a high proportion of corporate bond yields. In this paper, we test whether there is a systematic risk premium beyond that implied by a risk-neutral term structure model. We propose a reduced-form term structure model that incorporates both...
Persistent link: https://www.econbiz.de/10005394581