Showing 1 - 10 of 87
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/10013475217
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011553303
We developed a model-free Bayesian extraction procedure for the stochastic discount factor under a yield curve prior. Previous methods in the literature directly or indirectly use some particular parametric asset-pricing models such as with long-run risks or habits as the prior. Here, in...
Persistent link: https://www.econbiz.de/10012484936
In this research, two estimation algorithms for extracting cross-lingual news pairs based on machine learning from financial news articles have been proposed. Every second, innumerable text data, including all kinds news, reports, messages, reviews, comments, and tweets are generated on the...
Persistent link: https://www.econbiz.de/10011855132
The close relationship between governments and their central banks generates risks for both partners. This paper presents an original qualitative empirical approach based on textual analysis of the United States of America, China, and their Central Banks’ respective communications. These...
Persistent link: https://www.econbiz.de/10012520253
This paper investigates the impact of annual report readability on the corporate bond market. My findings indicate that in the US corporate bond market, firms with less readable annual reports tend to have higher credit spreads, higher credit spread volatilities, higher transaction costs, higher...
Persistent link: https://www.econbiz.de/10012171281
This paper provides a unique COVID-19 disclosure measurement and investigates the association between the level of COVID-19 disclosure and uncertainty within annual reports for UK FTSE-All share non-financial firms. We used automated textual analysis to score the sampled annual reports. The...
Persistent link: https://www.econbiz.de/10012800246
Unprecedented opportunities have been brought by advancements in machine learning in the prediction of the economic success of movies. The analysis of movie title keywords is one promising but rarely investigated direction of study. To address this gap, we performed a text mining and exploratory...
Persistent link: https://www.econbiz.de/10012484006
The qualitative information of companies’ financial statements provides useful information that can increase the accuracy of bankruptcy prediction models. In this research, a dataset of 924,903 financial statements from 355,704 German companies classified into solvent, financially distressed,...
Persistent link: https://www.econbiz.de/10013471230
Tweets seem to impact diverse assets, especially during stressful periods. However, their interrelations during stressful events may change. Cryptos are apparently more sensitive to the sentiment spread by tweets. Therefore, a construct could be formed to study such complex interrelation during...
Persistent link: https://www.econbiz.de/10013273641