This paper evaluates whether the primary and secondary dissemination of earnings forecast revisions by security analysts is reflected in security prices. Security prices were used to determine the profitability (before the cost of search) of trading strategies based on the nonpublic knowledge of...

In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such claims by looking at various measures of correlation. Next, we assess what are...

We show in a simple framework that momentum trading can exist in equilibrium and momentum trading is profitable. Properties of the model fit the empirics well. First, the model captures in a parsimonious manner both short-term overreaction and long-term reversals. Second, it predicts that...

We propose a new model for volatility forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the common and the idiosyncratic part of each series of returns....

A set of multivariate GARCH models is estimated and its empirical validity is compared from the calculation of the Value at Risk. Data used are the daily returns of the nominal exchange rate of the Colombian peso vis-a-vis the American dollar, euro, sterling and Japanese yen for the period...

This paper explores the asymmetric predictability of realized semivariances and the variation of signed jumps in China's stock market with high frequency data from 2006 to 2013. Our empirical results show that, (1) future volatilities are more (less) related to the historical realized...

Testing for constant expected returns and forecasting future returns necessitate the information beyond a single predictor. We consider the predictive regression model with multiple predictors which are potentially strongly persistent and cointegrated. Instrumental variables based tests for...

Examination over multiple horizons has been a routine in testing asset return predictability in finance and macroeconomics. In a simple predictive regression model, we find that the popular scaled test for multiple-horizon predictability has zero null rejection rate if the forecast horizon...