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Explaining hedge fund investment styles by loss aversion: a rational alternative

Siegmann, Arjen; Lucas, André - 2002

Persistent link: https://www.econbiz.de/10001689199

Credit default swap regulation in experimental bond markets

Weber, Matthias; Duffy, John; Schram, Arthur - 2019

Credit default swaps (CDS) played an important role in the financial crisis of 2008. While CDS can be used to hedge risks, they can also be used for speculative purposes (as occurred during the financial crisis) and regulations have been proposed to limit such speculative use. Here, we provide...

Persistent link: https://www.econbiz.de/10012026056

What drives the quotes of earnigns forecasters?

Bruijn, Bert de; Franses, Philip Hans - 2012

Persistent link: https://www.econbiz.de/10009723028

How informative are the unpredictable components of earnings forecasts?

Bruijn, Bert de; Franses, Philip Hans - 2015

earnings forecasters, we see that small adjustments to the model forecasts lead to more forecast accuracy. Based on past track …

Persistent link: https://www.econbiz.de/10010490078

Did the Sarbanes-Oxley Act of 2002 make firms less opaque? : evidence from analyst earnings forecasts

Arping, Stefan; Sautner, Zacharias - 2010 - This version: November 2010

We study whether the Sarbanes-Oxley Act (SOX) of 2002 made firms less opaque. For identification, we use a difference-in-differences estimation approach and compare EU firms that are cross-listed in the US-and therefore subject to SOX-with comparable EU firms that are not cross-listed. We derive...

Persistent link: https://www.econbiz.de/10011382666

Forecasting earnings forecasts

Bruijn, Bert de; Franses, Philip Hans - 2013

Persistent link: https://www.econbiz.de/10010191299

Simple market timing with moving averages

Ilomäki, Jukka; Laurila, Hannu; McAleer, Michael - 2018

Consider using the simple moving average (MA) rule of Gartley (1935) to determine when to buy stocks, and when to sell them and switch to the risk-free rate. In comparison, how might the performance be affected if the frequency is changed to the use of MA calculations? The empirical results show...

Persistent link: https://www.econbiz.de/10011848115

Booms, busts and behavioural heterogeneity in stock prices

Hommes, Cars H.; Veld, Daan in't - 2015 - This draft: July 2015

We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...

Persistent link: https://www.econbiz.de/10011301214

An hourly periodic state space model for modelling French national electricity load

Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008

Persistent link: https://www.econbiz.de/10003645204

Beating the random walk : a performance assessment of long-term interest rate forecasts

Butter, Frank A. G. den; Jansen, Pieter W. - 2008 - This version 27 October 2008

This paper assesses the performance of a number of long-term interest rate forecast approaches, namely time series … is compared using out of sample forecast errors, where a random walk forecast acts as benchmark. It is found that for … approaches do not outperform the random walk, or a somewhat more sophisticated time series model, on a 3 month forecast horizon …

Persistent link: https://www.econbiz.de/10011377250

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