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Mispricing and uncertainty in international markets

Sandulescu, Mirela; Schneider, Paul - 2021

We develop Residual MisPricing (RMP), an index capturing mispricing relative to a linear benchmark asset pricing model, from the structure imposed by no-arbitrage. RMP is fully conditional and depends only on the returns of basic assets. Return data for several economies reveal that RMP is...

Persistent link: https://www.econbiz.de/10012487677

An Asset-Pricing Model with Commonality in Exchange Rates

Jacoby, Gady; Liao, Rose C.; Wang, Yan; Wu, Zhenyu - 2022

We employ an intertemporal CAPM (Merton, 1973) framework to examine how exposure to currency risk is priced in foreign …

Persistent link: https://www.econbiz.de/10014236654

Fake news and asset price dynamics

Mignot, Sarah; Pellizzari, Paolo; Westerhoff, Frank H. - In: Jahrbücher für Nationalökonomie und Statistik 244 (2024) 4, pp. 351-379

We explore the impact of fake news on asset price dynamics within the asset-pricing model of Brock and Hommes (Brock, W. A., and C. H. Hommes. 1998. "Heterogeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model." Journal of Economic Dynamics and Control 22 (8): 1235-74). By...

Persistent link: https://www.econbiz.de/10015326021

Fake news and asset price dynamics

Mignot, Sarah; Pellizzari, Paolo; Westerhoff, Frank H. - 2024

We explore the impact of fake news on asset price dynamics within the asset-pricing model of Brock and Hommes (1998). By polluting the information landscape, fake news interferes with agents' perception of the dividend process of the risky asset. Our analysis reveals that fake news decreases the...

Persistent link: https://www.econbiz.de/10014631654

Charting Technical Trading Rules and the Lottery of Technical Analysis : Empirical Evidence from Foreign Exchange Market

Repkine, Alexandre - 2009

We use trend-following, trend continuation and trend reversal pattern recognition techniques to apply technical charting rules to trading seven major currency pairs for the period of 1999 through early 2007. Our results suggest that the persistent popularity of technical analysis among...

Persistent link: https://www.econbiz.de/10014219672

Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks

Fičura, Milan - 2017

Persistent link: https://www.econbiz.de/10012964943

Ambiguity Aversion : Implications for the Uncovered Interest Rate Parity Puzzle

Ilut, Cosmin L. - 2010

High-interest-rate currencies tend to appreciate in the future relative to low-interest-rate currencies instead of depreciating as uncovered-interest-parity (UIP) predicts. I construct a model of exchange-rate determination in which ambiguity-averse agents face a dynamic filtering problem...

Persistent link: https://www.econbiz.de/10013143360

The Rate of Communication

Huang, Shiyang - 2020

We study the transmission of financial news and opinions through social interactions. We identify a series of plausibly exogenous shocks, which cause “treated investors” to trade abnormally. We then trace the “contagion” of abnormal trading activity from the treated investors to their...

Persistent link: https://www.econbiz.de/10012855103

Investor Attention to News on Financial Integration and Currency Returns

Filippou, Ilias; T. Nguyen, My; Taylor, Mark P. - 2023

In this paper, we examine the economic value of a text-based measure of financial integration. Our attention measure of financial integration is a strong positive predictor of currency excess returns. Specifically, the financial integration measure is positively priced in the cross-section of...

Persistent link: https://www.econbiz.de/10014254455

Observable Implications of the Conditional CAPM

de Oliveira Souza, Thiago - 2021

The derivation of observable implications of the conditional CAPM theory often includes the joint (internally … size portfolios, while the unconditional CAPM theory is still rejected by portfolios with negative unconditional betas and … positive unconditional alphas. Hence, relaxing this joint assumption does not render the CAPM theory untestable …

Persistent link: https://www.econbiz.de/10013250850