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Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies

Fičura, Milan - 2017

The profitability of a trading system based on the momentum-like effects of price jumps was tested on the time series of 7 assets (EUR/USD, GBP/USD, USD/CHF and USD/JPY exchange rates and Light Crude Oil, E-Mini S&P 500 and VIX Futures), in each case for 7 different frequencies (ranging from...

Persistent link: https://www.econbiz.de/10012964934

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

Comovement, Passive Investing and Price Informativeness

DeLisle, Jared - 2015

From 1992 to 2011, average R2 increased from 0.17 to 0.47. During this period, passive financial institutions also grew their ownership from 30 to 50% of the market. Passive investors do not perform fundamental research nor trade around firm-specific news, thus reducing the firm-specific...

Persistent link: https://www.econbiz.de/10013036350

Time-Varying Risk and Risk Premiums in Frontier Markets

Todorov, Galin - 2012

We study risk-return relationship in twenty Frontier country stock markets by setting up an international version of the intertemporal capital asset pricing model (International ICAPM). The systematic risk in this model comes from covariance of Frontier market stock index returns with world...

Persistent link: https://www.econbiz.de/10013110156

Time-Varying Risk and Risk Premiums in Frontier Markets

Todorov, Galin - 2012

Persistent link: https://www.econbiz.de/10013113763

Something in the air: information density, news surprises, and price jumps

Füss, Roland; Grabellus, Markus; Mager, Ferdinand; … - 2015

This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy “ticker”...

Persistent link: https://www.econbiz.de/10011344170

Understanding Jumps in High Frequency Digital Asset Markets

Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021

While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market digital asset returns are driven by high frequency jumps...

Persistent link: https://www.econbiz.de/10013323741

Stock Market Volatility and Public Information Flow : A Non-linear Perspective

Bertelsen, Kristoffer Pons; Borup, Daniel; Jakobsen, … - 2021

The relationship between the level of stock market volatility and public information flow is non-linear, resembling a bell-shaped function. Medium levels of information flow generate heightened volatility, whereas weak and strong information flow do not, regardless of whether news are negative...

Persistent link: https://www.econbiz.de/10013228092

Comparison of the Tails of Market Return Distributions

Koronkiewicz, Grzegorz - 2016

distributions. The second approach is based on the assumptions of the Extreme Value Theory (EVT) and the Pickands-Balkema-de Haan …

Persistent link: https://www.econbiz.de/10012978803

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …

Persistent link: https://www.econbiz.de/10012237439