Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...

Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard...

In dem vorliegenden Artikel wird empirisch der Frage nachgegangen, ob eine auf Point&Figure-Charts basierende Anlagestrategie statistisch signifikant zu ökonomisch bedeutsamen Überrenditen führt. Dabei zeigt sich in den durchgeführten Simulationen, dass eine der beiden untersuchten...

This paper employs numerical simulations of the Park and Sabourian (2011) herd model to derive new theory-based predictions for how information risk and market stress influence aggregate herding intensity. We test these predictions empirically using a comprehensive data set of highfrequency and...

News carry information of market moves. The gargantuan plethora of opinions, facts and tweets on financial business offers the opportunity to test and analyze the influence of such text sources on future directions of stocks. It also creates though the necessity to distill via statistical...

This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and NASDAQ stocks on the CRSP database. The analysis considers the period July 1963 to December 2002 and the tests are performed on portfolios formed on industry, size and...

News carry information of market moves. The gargantuan plethora of opinions, facts and tweets on financial business offers the opportunity to test and analyze the influence of such text sources on future directions of stocks. It also creates though the necessity to distill via statistical...

Is it possible to beat the market by mechanical trading rules based on historical and publicly known information? Such rules have long been used by investors and in this paper, we test the success rate of trades and profitability of the Open Range Breakout (ORB) strategy. An investor that trades...

The goal of this study is to investigate the causality relationship between the Utilities industry and the nine other industries. Previous literatures show that volatility of stock prices is informative; Granger causality is applied in this research by using of a leveraged bootstrap test...

Empirical evidence from time series methods which assume the usual I(0)/I(1) paradigm suggests that the efficient market hypothesis, stating that spot and futures prices of a commodity should cointegrate with a unit slope on futures prices, does not hold. However, these statistical methods are...