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Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules
Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, … - Federal Reserve Bank of St. Louis - 2010
-of-sample forecasting gains, which are concentrated in U.S. business-cycle recessions. Nevertheless, economic variables and moving …-of-sample forecasting gains in the actual data evidenced by economic variables and moving-average rules. …
Persistent link: https://www.econbiz.de/10008489205
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Why the markets went crazy : and what it means for investors
Lee, Tim - 2004
Persistent link: https://www.econbiz.de/10004149586
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Getting started in candlestick charting
Logan, Tina - 2008
Persistent link: https://www.econbiz.de/10004911101
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Investor’s psychology cycle on the romanian capital market
Murgea, Aurora - In: Analele Stiintifice ale Universitatii "Alexandru Ioan … 55 (2008) November, pp. 111-119
Modern financial economics assumes that we behave with extreme rationality but we do not. Furthermore, our deviations from rationality are often systematic.This paper tries to offer a starting point in the investor’s psychology analyses in the framework of the latest events in the Romanian...
Persistent link: https://www.econbiz.de/10005417611
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Inter-industry contagion and the competitive effects of financial distress announcements: evidence from commercial banks and life insurance companies
Elijah Brewer, III; William E. Jackson, III - Federal Reserve Bank of Chicago - 2002
Contagion usually refers to the spillover of the effects of shocks from one or more firms to other firms. Most studies of contagion limit their analysis to how shock affect firms in the same industry, or "intra-industry" contagion. The purpose of this paper is to explore and document the likely...
Persistent link: https://www.econbiz.de/10005419883
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The pitfalls in inferring risk from financial market data
Bliss, Robert R. - Federal Reserve Bank of Chicago - 2000
This paper examines two qualitative rules of thumb, frequently invoked in discussions of bank regulatory policy. The first, that equity holders prefer more risk to less, derives from a result in option pricing theory, that an option's value increases monotonically with the riskiness of the...
Persistent link: https://www.econbiz.de/10005419915
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When is inter-transaction time informative?
Furfine, Craig - Federal Reserve Bank of Chicago - 2003
We investigate the information content of inter-transaction time and find that it varies both across stocks and over … time. On average, inter-transaction time is found to be informative whenever stocks are sufficiently traded. The magnitude … of the information content is found to be larger for less liquid, but still fairly actively traded stocks. In general …
Persistent link: https://www.econbiz.de/10005419964
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Decomposing the U.S. external returns differential
Curcuru, Stephanie; Dvorak, Tomas; Warnock, Francis E. - Federal Reserve Board (Board of Governors of the … - 2009
We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...
Persistent link: https://www.econbiz.de/10008615669
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Bayesian analysis of stochastic volatility models with Lévy jumps: application to risk analysis
Szerszen, Pawel J. - Federal Reserve Board (Board of Governors of the … - 2009
In this paper I analyze a broad class of continuous-time jump diffusion models of asset returns. In the models, stochastic volatility can arise either from a diffusion part, or a jump part, or both. The jump component includes either compound Poisson or Lévy alpha-stable jumps. To be able to...
Persistent link: https://www.econbiz.de/10008616968
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ASSESSMENT OF INFLUENCE INFLATION STOCKS
TULVINSCHI, Mihaela; VLAD, Mariana - In: The Annals of the "Stefan cel Mare" University of … 9 (2009) 2(10), pp. 181-188
values for evaluation as basis for evaluation. Regarding the property elements, stocks are those that fallow fix assets in … stocks prices are registered with considerable influence in terms of resumption of production and future production costs. In … the paper it is outlined the inflation’s impact upon the stock evaluation in two different moments: when stocks exit …
Persistent link: https://www.econbiz.de/10008677532