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Group affiliation and default prediction
Beaver, William H.; Cascino, Stefano; Correia, Maria; … - 2018
improvements in parent default prediction are decreasing in the extent of parent-country financial reporting transparency which …
Persistent link: https://www.econbiz.de/10011864989
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The Impact of Hedge Funds on Asset Markets
Kruttli, Mathias S. - 2016
hedge funds provide liquidity in asset markets …
Persistent link: https://www.econbiz.de/10013007429
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Predicting Cryptocurrency Defaults
Sapkota, Niranjan - 2019
We examine all available 146 Proof-of-Work based cryptocurrencies that started trading prior to the end of 2014 and track their performance until December 2018. We find that about 60% of those cryptocurrencies were eventually in default. The substantial sums of money involved mean those...
Persistent link: https://www.econbiz.de/10012871117
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Illiquidity and Earnings Predictability
Kerr, Jon N. - 2018
those of more liquid stocks. A natural experiment utilizing an exogenous variation in liquidity amid the reduction of tick … size on the NYSE indicates that an improvement in liquidity causes an increase in earnings predictability. At the aggregate … during illiquid periods. The results highlight the importance of liquidity for forecasting fundamentals and stock …
Persistent link: https://www.econbiz.de/10012940517
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Liquidity Forecasts and Stock Returns
Schmitt, Claus; Schuster, Philipp - 2023
We suggest a procedure to predict individual stock liquidity and study the relation between stock liquidity forecasts … and average stock returns. Our forecast model reduces the root-mean-squared error by 12% for the Amihud (2002) liquidity … measure compared to realized stock liquidity in the previous month. Our liquidity forecasts capture economically large changes …
Persistent link: https://www.econbiz.de/10014351379
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Predictability in securities price formation: differences between developed and emerging markets
Camilleri, Silvio John; Vassallo, Semiramis; Bai, Ye - In: Journal of capital markets studies 4 (2020) 2, pp. 146-166
Purpose This paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample. Design/methodology/approach The authors analyse security returns for traces of predictability or non-randomness...
Persistent link: https://www.econbiz.de/10012395371
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Prediction Accuracy and Sloppiness of Log-Periodic Functions
Brée, David; Challet, Damien; Peirano, Pier Paolo - 2010
We show that log-periodic power-law (LPPL) functions are intrinsically very hard to fit to time series. This comes from their sloppiness, the squared residuals depending very much on some combinations of parameters and very little on other ones. The time of singularity that is supposed to give...
Persistent link: https://www.econbiz.de/10014193969
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Accounting-Based Valuation and Predictability of Stock Market Returns : A Re-Examination
Fang, Jing - 2019
Using monthly data from 01/1985 to 12/2012, we find that the accounting valuation-based predictor introduced in Lee, Myers, and Swaminathan (1999) has excellent in-sample and out-of-sample predictive performance. Our finding suggests that the accounting valuation-based predictor does not suffer...
Persistent link: https://www.econbiz.de/10014103309
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Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns
Stöckl, Sebastian - 2016
In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns. Adding to the work of Maio (2016), who finds cross-sectional volatility to forecast a decline in the equity premium with high predictive power in-sample as well as...
Persistent link: https://www.econbiz.de/10012996822
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Predicting Stock Market Returns Using the Shiller CAPE — An Improvement Towards Traditional Value Indicators?
Keimling, Norbert - 2016
Existing research indicates that it is possible to forecast potential long-term returns in the S&P 500 for periods of more than 10 years using the cyclically adjusted price-to-earnings ratio (CAPE). This paper concludes that this relationship has also existed internationally in 17 MSCI Country...
Persistent link: https://www.econbiz.de/10012998360