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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

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

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

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

Market response to investor sentiment

Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - 2011

This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...

Persistent link: https://www.econbiz.de/10010308566

Testing for monotonicity in expected asset returns

Romano, Joseph P.; Wolf, Michael - 2013

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...

Persistent link: https://www.econbiz.de/10010316931

Sentiment dynamics and stock returns: the case of the German stock market

Lux, Thomas - 2008

We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors' mood and subsequent stock price changes. In contrast to extant literature for other countries, a tri-variate vector autoregression for short-run...

Persistent link: https://www.econbiz.de/10010263537

Predictability of asset returns and the efficient market hypothesis

Pesaran, Mohammad Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10010276268

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