Showing 1 - 10 of 13
The link between asset valuation and investor sentiment is the subject of considerable debate in the profession. If excessive optimism drives prices above intrinsic values, periods of high sentiment should be followed by low returns, as market prices revert to fundamental values. Using survey...
Persistent link: https://www.econbiz.de/10005607845
We report that initial public offering (IPO) underpricing is positively related to analyst coverage by the lead underwriter and to the presence of an all-star analyst on the research staff of the lead underwriter. These findings are robust to controls for other determinants of underpricing and...
Persistent link: https://www.econbiz.de/10005302978
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The estimation of multivariate GARCH time series models is a difficult task mainly due to the excessive parametrization exhibited by the problem, usually referred to as the “curse of dimensionality”. For the VEC family, the number of parameters involved in the model grows as a polynomial of...
Persistent link: https://www.econbiz.de/10011056388
We show how to use asset market data to restrict the admissible region for the first-order autocorrelation of the stochastic discount factor (SDF). We interpret this statistic as a measure of a model’s economic time variation across two periods. Estimating bounds for nominal and real SDFs at...
Persistent link: https://www.econbiz.de/10011065614
Let X be a n×p real matrix with coherence μ(X)=maxj≠j′|XjtXj′|. We present a simplified and improved study of the quasi-isometry property for most submatrices of X obtained by uniform column sampling. Our results depend on μ(X), the operator norm ‖X‖ and the dimensions with explicit...
Persistent link: https://www.econbiz.de/10011039896
"This paper presents a new method to examine the performance evaluation of mutual funds in incomplete markets. Based on the no arbitrage condition, we develop bounds on admissible performance measures. We suggest new ways of ranking mutual funds and provide a diagnostic instrument for evaluating...
Persistent link: https://www.econbiz.de/10005693140
A new approach to species distribution modelling based on unsupervised classification via a finite mixture of GAMs incorporating habitat suitability curves is proposed. A tailored EM algorithm is outlined for computing maximum likelihood estimates. Several submodels incorporating various...
Persistent link: https://www.econbiz.de/10008550806
This paper investigates the relationship between federal election outcomes and expected returns and volatilities in the Canadian money, bond, equity and currency markets from 1951 to 2006. There is little evidence that investment opportunities are different in minority versus majority...
Persistent link: https://www.econbiz.de/10008493225