We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of...

We use forward-looking information from option prices to estimate option-implied correlations and to construct an option-implied predictor of factor betas. With our implied market betas, we find a monotonically increasing risk-return relation, not detectable with standard rolling-window betas,...

RESUMENCada día que pasa, más países, más profesionales y más empresarios en el contexto global se interesan, estudian y aplican estándares internacionales de información financiera. En Colombia, estudiantes, profesores, profesionales y empresarios, también han venido acercándose al...

Current developments of hedge funds market demonstrate the relevance of operative and market risk exposure measurement. VaR represents the more widespread approach adopted for measuring the market risk and it could be used jointly with other measures in order to overcome some forecasting limits...

After 1990, the financial analysis of the phenomena that occur in firms has grown in importance. Financial analysts face new challenges as a result of Romania’s accession to the European Union. A thorough analysis of the investment decisions is required in order to access structural funds....

El objetivo del presente estudio radica en construir algunos modelos estadísticos, econométricosy de inteligencia artificial que permitan realizar predicciones sobre el comportamientode mercado de la acción de SURAMINV (Suramericana de Inversiones S. A.).Se obtuvo evidencia a favor de la...

This paper is the first to utilize a direct test for periodic, partially collapsing speculative bubbles in US REIT prices. A long history of data is employed for the All, Mortgage and Equity REIT categories. This approach is more powerful than existing tests and is based on the formulation of a...

Since 1949 Lehman Brothers has used an investment committee to select the top ten recommendations made by its analysts each year. We examine the performance of this committee’s recommendations and find that on average its selections generated abnormal returns of 2.7% at the recommendation...

Securitized real estate returns have traditionally been forecasted using economic variables. However, no consensus exists regarding the variables to use. Financial and real estate factors have recently emerged as an alternative set of variables useful in forecasting securitized real estate...

In McAleer et al. (2010b), a robust risk management strategy to the Global Financial Crisis (GFC) was proposed under the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast was based on the median of the point VaR...