Showing 1 - 10 of 45
We contribute to the development of indirect valuation method for publicly traded companies. We introduce relative earning stability as a new dimension of peer selection criteria for determination of appropriate comparable group of peer companies to the evaluated company. Based on large sample...
Persistent link: https://www.econbiz.de/10011879385
We study the role of the choice of a fundamental database on the portfolio returns of a set of 74 fundamental anomalies. We benchmark Compustat by comparing it to Datastream in the US and find systematic differences in the raw financial statements across the databases. These differences only...
Persistent link: https://www.econbiz.de/10011879388
We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...
Persistent link: https://www.econbiz.de/10012242861
We examine the predictability of expected stock returns across horizons using machine learning. We use neural networks, and gradient boosted regression trees on the U.S. and international equity datasets. We find that predictability of returns using neural networks models decreases with longer...
Persistent link: https://www.econbiz.de/10012426271
Based on intraday data for a large cross-section of individual stocks and Exchange traded funds, we show that short-term as well as long-term fluctuations of realized market and average idiosyncratic higher moments risks are priced in the crosssectionof asset returns. Specifically, we find that...
Persistent link: https://www.econbiz.de/10012496742
We evaluate the performance of the Conditional Autoencoder (CAE) model by Gu et al. (2021) in an international context and under economic constraints, such as the exclusion of microcap and illiquid firms, and accounting for transaction costs. The CAE model leverages latent factors and factor...
Persistent link: https://www.econbiz.de/10015044944
Using the Heterogeneous Agent Model framework, we incorporate an extension based on Prospect Theory into a popular agent-based asset pricing model. The extension covers the phenomenon of loss aversion manifested in risk aversion and asymmetric treatment of gains and losses. Using Monte Carlo...
Persistent link: https://www.econbiz.de/10011515746
This paper investigates investment performance of microfinance investment funds. The examined funds have recorded lower total risk than global stocks and bonds (measured by four benchmark indices) with moderate but stable returns. The analysis revealed that investment in microfinance investment...
Persistent link: https://www.econbiz.de/10003929610
Equity home bias is a situation on equity market where domestic investors prefer invest too much into domestic equities despite the possible gains from diversification into foreign equities. Equity home bias can arise as a result of institutional or behavioral factors. In this paper I will...
Persistent link: https://www.econbiz.de/10009152596
This paper deals with the risk management of savings accounts. Savings accounts are non-maturing accounts bearing a relatively attractive rate of return and two embedded options: a customer's option to withdraw money at any time and a bank's option to set the deposit as it wishes. The risk...
Persistent link: https://www.econbiz.de/10010344157