Search Results - subject:"Active trading"

Empirical asset pricing via machine learning: evidence from the European stock market

Drobetz, Wolfgang; Otto, Tizian - In: Journal of Asset Management 22 (2021) 7, pp. 507-538

This paper evaluates the predictive performance of machine learning methods in forecasting European stock returns. Compared to a linear benchmark model, interactions and nonlinear effects help improve the predictive performance. But machine learning models must be adequately trained and tuned to...

Persistent link: https://www.econbiz.de/10014501310

Empirical asset pricing via machine learning : evidence from the European stock market

Drobetz, Wolfgang; Otto, Tizian - In: The journal of asset management : a major new, … 22 (2021) 7, pp. 507-538

Persistent link: https://www.econbiz.de/10012793590

Active trading and (poor) performance : the social transmission channel

Escobar, Laura; Pedraza, Alvaro - In: Journal of financial economics 150 (2023) 1, pp. 139-165

Persistent link: https://www.econbiz.de/10014421168

Forecasting stock market crashes via machine learning

Dichtl, Hubert; Drobetz, Wolfgang; Otto, Tizian - In: Journal of financial stability 65 (2023), pp. 1-25

Persistent link: https://www.econbiz.de/10014289861

Stock-selection timing

Jiang, George J.; Zaynutdinova, Gulnara R.; Zhang, Huacheng - In: Journal of banking & finance 125 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012819672

Active trading and (poor) performance : the social transmission channel

Escobar, Laura; Pedraza, Alvaro - 2019

, but the causal effect from peer effects on active trading are difficult to identify empirically. This paper exploits the … appear to overestimate the value of active trading. The paper finds that these rookie investors make more stock transactions …

Persistent link: https://www.econbiz.de/10012008113

Predictability and the cross section of expected returns : evidence from the European stock market

Drobetz, Wolfgang; Haller, Rebekka; Jasperneite, Christian - In: The journal of asset management 20 (2019) 7, pp. 508-533

Persistent link: https://www.econbiz.de/10012155318

Predicting and Capitalizing on Stock Market Bears in the U.S.

Candelon, Bertrand; Ahmed, Jameel; Straetmans, Stefan - Institut de Préparation à l'Administration et à la … - 2014

his paper attempts to predict the bear conditions on the US stock market. To this aim we elaborate simple predictive regressions, static and dynamic binary choice (BCM) as well as Markov-switching models. The in- and out-of-sample prediction ability is evaluated and we compare the forecasting...

Persistent link: https://www.econbiz.de/10011106609

Active trading and retail investors in Malaysia

Khan, Mohammad Tariqul Islam; Hooi, Tan Siow; Chong, Lee Lee - In: International journal of emerging markets 12 (2017) 4, pp. 708-726

Persistent link: https://www.econbiz.de/10011774001

Active trading and retail investors in Malaysia

Khan, Mohammad Tariqul Islam; Tan, Siow-Hooi; Chong, Lee-Lee - In: International Journal of Emerging Markets 12 (2017) 4, pp. 708-726

determines investors’ active trading decisions. Design/methodology/approach Using a cross-sectional survey on individual … investors, the study identifies active and inactive investors and then, investigates active trading by estimating binary … and are more experienced. The likelihood of active trading increases with the number of hours spent on researching …

Persistent link: https://www.econbiz.de/10014788443