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Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10014332691
the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …
Persistent link: https://www.econbiz.de/10013271146
A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing … average portfolio demand information in equilibrium if they can adjust portfolio size. More information diminishes the … endowments strongly differ from the average portfolio are worse off. Under fully revealing price, information market equilibria …
Persistent link: https://www.econbiz.de/10011451345
information and news channel. A novelty of the study is its use of data from Google Analytics on ECB website traffic as proxy for … communication on the information demand of the public and ultimately on inflation expectations. Overall, this study shows that …-term professional inflation expectations. Our findings add to the theoretical evidence on the existence of an information and news …
Persistent link: https://www.econbiz.de/10012511097
-set deviation compared to single-set ones; an interpretation is given in terms of information costs; examples show the relevance of …
Persistent link: https://www.econbiz.de/10009781643
This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3...
Persistent link: https://www.econbiz.de/10012611160
Persistent link: https://www.econbiz.de/10012611283
most of the Australian sector indices, with the financial, health care, information technology, and utility sectors … February 2020, but consumer staples, industry, information technology and real estate indices did not display any break. Markov …
Persistent link: https://www.econbiz.de/10012611732
Cross-border acquisitions by Indian companies have increased tremendously, especially during the last two decades, and the pharmaceutical industry is one of the top acquiring industries. This study verifies the relationship between cross-border acquisitions and shareholders' wealth in the Indian...
Persistent link: https://www.econbiz.de/10014332636
transmission with short-, medium-, and long-term dynamics. We find that after the possibility of a penalty is first announced to …
Persistent link: https://www.econbiz.de/10012697108