This paper investigates how market expectations regarding profitability mean reversion are reflected in stock prices. We propose a model that infers implicit expectations of future earnings using publicly available share prices based on the assumption that markets efficiently incorporate...

This paper investigates the relationships of the Bloomberg Gender Equality Index and the MSCI World Index in global financial markets. The main objective is to analyze the degree of integration of each index from a fractional perspective for the years 2014-2021. The methodology involves...

This study examines the dynamic behaviour of corporate profits in selected developed economies using the quarterly data. Firstly, the non-linear and asymmetric behaviour is considered: the presence of general form of nonlinearity (based on linear autoregressive model, third order moments and...

This study makes use of a very long time series of the S&P Composite Index, checking once more that the rates of return benefit from aggregational normality. It performs unit root tests as well as elementary statistical tests that take advantage of normality. It finds that mean blur is not...

We propose a framework for constructing diversified portfolios with multiple pairs trading strategies. In our approach, several pairs of co-moving assets are traded simultaneously, and capital is dynamically allocated among different pairs based on the statistical characteristics of the...

This paper investigates the mean reversion in household consumption expenditure in 38 African countries; the expenditure series used were the percentage of nominal Gross Domestic Product (GDP), each spanning 1990 to 2018. Due to a small sample size of time series of household expenditure, with...

Financial time series are dynamic and influenced by different types of information from the market. In this study, we propose new models for SPX and VIX options using the Hawkes process, jump process with stochastic intensity, and tempered stable process to capture these changes in financial...

In the valuation of forest resources, the alternative uses of the land is one of the central themes. In most cases it is made without taking into account the uncertainty and the possible flexibility of the alternative use. Within these alternatives, the strategy of shifting to a more profitable...

The corporate debt reversibility analysis can be carried out not only from the owner/manager's active intervention perspective but also from the perspective of a mechanical reversion, independent of owner/managers' deliberations. Our study aims to discover how and which theoretical perspective...

Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing through markets with little connection to such fundamentals? To answer the question, this research explores the volatility dynamics and measures the persistence of shocks to the...

Eligibility criteria for interventions can induce an Ashenfelter Dip, and subsequent mean-reversion may result in improvement over time even absent the intervention. We investigate these dynamics for a food-as-medicine program to treat diabetes, where eligibility required elevated hemoglobin A1c...

Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...

A vast body of empirical literature documents the existence of short-term momentum and medium-term mean reversion in various financial markets. By contrast, there is still a great shortage of theoretical models that explain the presence of these two common phenomena. We develop a semi-Markov...

This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...

Stock prices are well known to exhibit behaviors that are difficult to model mathematically. Individual stocks are observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum. Here we show that individual stocks can be modeled by simple...

We revisited the issue of return predictability in three major developed markets (USA, UK and Japan) using a unique dataset from the Wharton Research Data Services database and a comprehensive set of traditional and recent statistical methods. We specifically employed a variety of traditional...

This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...

This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional integration methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas (US, Europe, Asia/Pacific, the Rest of the...