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Changes in earnings-price ratios and excess returns : a case of investor over-reaction
Bartholdy, Jan - 1998
Persistent link: https://www.econbiz.de/10000994150
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Cycles and long-range behaviour in the European stock markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...
Persistent link: https://www.econbiz.de/10012123055
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Testing for persistence in German green and brown stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Solarin … - 2024
estimation of a GARCH (1,1) model for stock returns shows that their conditional volatility is characterised by lower persistence …
Persistent link: https://www.econbiz.de/10014578571
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On the out-of-sample predictability of stock market returns
Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001971221
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Seven pitfalls of technical analysis
Caporale, Guglielmo Maria; Plastun, Alex - 2023
This paper examines the main drawbacks of technical analysis. Although this is widely used by practitioners, from an academic perspective it can only be seen as a form of "voodoo finance". In particular, it runs into the following pitfalls: Subjectivity; Doubtful assumptions; Unjustified...
Persistent link: https://www.econbiz.de/10013489574
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Why do analysts continue to provide favorable coverage for seasoned stocks?
Mola, Simona (contributor); Guidolin, Massimo (contributor) - 2006
Persistent link: https://www.econbiz.de/10003740043
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Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US
Haase, Felix; Neuenkirch, Matthias - 2021
-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …
Persistent link: https://www.econbiz.de/10012416151
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Forecasting volatility in European stock markets with non-linear GARCH models
Forte, Gianfranco; Manera, Matteo - 2002
classical criteria, as well as forecast combination techniques with constant and non-constant weights. With respect to the … standard GARCH specification, the non-linear models generally lead to better forecasts in terms of both smaller forecast errors … and lower biases. In-sample forecast combination regressions are better than those from single Mincer …
Persistent link: https://www.econbiz.de/10011598042
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Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...
Persistent link: https://www.econbiz.de/10012138660
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The dynamics of households' stock market beliefs
Gaudecker, Hans-Martin von; Wogrolly, Axel - 2019
We analyse a long panel of households' stock market beliefs to gain insights into the nature of their expectations formation processes. We classify respondents into one of five groups based on their data and estimate group-wise models of expectations formation. Two of the groups are at opposite...
Persistent link: https://www.econbiz.de/10011996781