Similar Search Results

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

Learning and Predictability via Technical Analysis : Evidence from Bitcoin and Stocks with Hard-to-Value Fundamentals

Detzel, Andrew L. - 2020

What predicts returns on assets with "hard-to-value" fundamentals, such as Bitcoin and stocks in new industries? We propose an equilibrium model that shows how rational learning enables return predictability through technical analysis. We document that ratios of prices to their moving averages...

Persistent link: https://www.econbiz.de/10012852969

Forecasting Bitcoin Volatility : Evidence from the Options Market

Hoang, Lai T. - 2020

This paper studies a large number of Bitcoin options traded on the options exchange Deribit. We use the trades to calculate implied volatility and analyze if volatility forecasts can be improved using such information. Implied volatility is less accurate than ARMA or HAR model forecasts in...

Persistent link: https://www.econbiz.de/10012839516

Trend-based Forecast of Cryptocurrency Returns

Tan, Xilong; Tao, Yubo (Robert) - 2022

We systematically re-examine the efficacy of trend-based technical indicators in predicting cryptocurrency market returns at daily, weekly, and monthly horizons. It shows that the price-based signals are more effective than the volume-based signals in the short horizon (daily and weekly), while...

Persistent link: https://www.econbiz.de/10014239497

Measuring Investor Sentiment in the Stock Market

Beer, Francisca - 2011

Recently, investor sentiment measures have become one of the more widely examined areas in behavioral finance. A number of measures have been developed in the literature without having been fully validated, and therefore leaving in question which measure should be used for empirical exploration....

Persistent link: https://www.econbiz.de/10013119816

Group affiliation and default prediction

Beaver, William H.; Cascino, Stefano; Correia, Maria; … - 2018

Using a large sample of business groups from more than one hundred countries around the world, we show that group information matters for parent and subsidiary default prediction. Group firms may support each other when in financial distress. Potential group support represents an off-balance...

Persistent link: https://www.econbiz.de/10011864989

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

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

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

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