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Dispersion in Options Investors’ Versus Analysts’ Expectations : Predictive Inference for Stock Returns

Andreou, Panayiotis C. - 2019

and its information content is not subsumed by several alternative equity premium predictors. Consistent with the …

Persistent link: https://www.econbiz.de/10012905055

Cziraki, Peter - 2020

results are stronger for stocks with a greater degree of information frictions. The new measure of asymmetric attention allows … one to infer the arrival of unobservable private information by observing investors' attention allocation behavior …

Persistent link: https://www.econbiz.de/10012857468

Volatility, valuation ratios, and bubbles : an empirical measure of market sentiment

Gao, Can; Martin, Ian - 2021

We define a sentiment indicator based on option prices, valuation ratios and interest rates. The indicator can be interpreted as a lower bound on the expected growth in fundamentals that a rational investor would have to perceive in order to be happy to hold the market. The lower bound was...

Persistent link: https://www.econbiz.de/10012489383

Using a Mean Changing Stochastic Processes Exit-Entry Model for Stock Market Long-Short Prediction

Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - 2021

Stochastic processes is one of the key operations research tools for analysis of complex phenomenon. This paper has a unique application to the study of mean changing models in stock markets. The idea is to enter and exit stock markets like Apple Computer and the broad S&P500 index at good times...

Persistent link: https://www.econbiz.de/10013220323

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

Time Series Momentum and Reversal : Intraday Information from Realized Semivariance

Liu, Zhenya - 2020

The presence of time series momentum effect has been widely documented in the financial markets across asset classes and countries. We find a predictable pattern of the realized semi-variance to the future individual asset return, especially during the stressed states of time series momentum...

Persistent link: https://www.econbiz.de/10012836027

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. 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/10013141185

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - 2010

Persistent link: https://www.econbiz.de/10013141228

The Cross-Section of Expected Stock Returns : Learning about Distress and Predictability in Heterogeneous Orchards

Buraschi, Andrea - 2010

, where the agent has incomplete information about the state of an underlying common factor and learns from the events … to pure aggregate consumption risk models with complete information and disaster risk. The model provides a simple …

Persistent link: https://www.econbiz.de/10013146624

Predictability of asset returns and the efficient market hypothesis

Pesaran, M. Hashem - 2010

Persistent link: https://www.econbiz.de/10003983206