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Hedge fund stock trading in the financial crisis of 2007 - 2009

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011 - Rev. version May 2011

Hedge funds significantly reduced their equity holdings during the recent financial crisis. In 2008Q3-Q4, hedge funds sold about 29% of their aggregate portfolio. Redemptions and margin calls were the primary drivers of selloffs. Consistent with forced deleveraging, the selloffs took place in...

Persistent link: https://www.econbiz.de/10009009543

ETFs, arbitrage, and contagion

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2012 - March 2012

Recent literature suggests that trading by institutional investors may affect the first and second moments of returns. Elaborating on this intuition, we conjecture that arbitrageurs can propagate liquidity shocks between related markets. The paper provides evidence in this direction by studying...

Persistent link: https://www.econbiz.de/10009554748

The granular nature of large institutional investors

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih; … - 2016

Large institutional investors own an increasing share of equity markets in the U.S. The implications of this development for financial markets are still unclear. The paper presents novel empirical evidence that ownership by large institutions predicts higher volatility and greater noise in stock...

Persistent link: https://www.econbiz.de/10011514119

The value of competitive information in forecasting FMCG retail product sales and the variable selection problem

Huang, Tao; Fildes, Robert; Soopramanien, Didier - In: European journal of operational research : EJOR 237 (2014) 2, pp. 738-748

Persistent link: https://www.econbiz.de/10010379939

Demand forecasting with high dimensional data : the case of SKU retail sales forecasting with intra- and inter-category promotional information

Ma, Shaohui; Fildes, Robert; Huang, Tao - In: European journal of operational research : EJOR 249 (2016) 1, pp. 245-257

Persistent link: https://www.econbiz.de/10011435824

Forecasting retailer product sales in the presence of structural change

Huang, Tao; Fildes, Robert; Soopramanien, Didier - In: European journal of operational research : EJOR 279 (2019) 2, pp. 459-470

Persistent link: https://www.econbiz.de/10012110716

The value of competitive information in forecasting FMCG retail product sales and the variable selection problem

Huang, Tao; Fildes, Robert; Soopramanien, Didier - In: European Journal of Operational Research 237 (2014) 2, pp. 738-748

Sales forecasting at the UPC level is important for retailers to manage inventory. In this paper, we propose more …, competitive information has been surprisingly overlooked by previous studies in forecasting UPC sales, probably because of the … circumstance, time series models can easily become over-fitted and thus generate poor forecasting results. …

Persistent link: https://www.econbiz.de/10011097804