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Have financial markets become more informative?

Bai, Jennie; Philippon, Thomas; Savov, Alexi - 2012

The finance industry has grown. Financial markets have become more liquid. Information technology has improved. But have prices become more informative? Using stock and bond prices to forecast earnings, we find that the information content of market prices has not increased since 1960. The...

Persistent link: https://www.econbiz.de/10009657611

Nowcasting of the short-run Euro-Dollar exchange rate with economic fundamentals and time-varying parameters

Yemba, Boniface P.; Otunuga, Olusegun Michael; Tang, Biyan - In: Finance research letters 52 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014472115

Discretionary liquidity trading, information production and market efficiency

Liu, Xia; Liu, Shancun; Qi, Zhen; Wen, Chunhui - In: Finance research letters 35 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012438408

The MOSUM of squares test for monitoring variance changes

Hsu, Chih-chiang - In: Finance research letters 4 (2007) 4, pp. 254-260

Persistent link: https://www.econbiz.de/10003702522

Evolution of stock market efficiency in Europe : evidence from measuring periods of inefficiency

Bock, Jonas; Geissel, Sebastian - In: Finance research letters 62 (2024) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014530836

Bubbles and crashes in cryptocurrencies : interdependence, contagion, or asset rotation?

Chowdhury, Md Shahedur R.; Damianov, Damian S.; … - In: Finance research letters 46 (2022) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10013342758

One-sided test for an unknown breakpoint : theory, computation, and application to monetary theory

Estrella, Arturo (contributor); … - 2005

The econometrics literature contains a variety of two-sided tests for unknown breakpoints in time-series models with one or more parameters. This paper derives an analogous one-sided test that takes into account the direction of the change for a single parameter. In particular, we propose a sup...