We examine the relation between stock volatility and asymmetric information empirically. We use two proxies of information asymmetry: institutional ownership and analyst coverage. We find that firms covered by more analysts are more likely to have less volatile returns. A significant and...

The purpose of this study is to assess whether the analysts' activity is valuable for investors, i. e., whether the managers follow the analysts' forecasts and whether those who follow are able to achieve higher returns. We analyzed the behavior of investment fund managers in the Brazilian...

Using a CCAPM-based risk-adjustment model, we perform yearly valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ over a thirty-year period. The model differs from standard valuation models in the sense that it adjusts forecasted residual income for risk in the numerator rather...

Using a random sample of 60% of our cross-sectional data on U.S. stocks from 1964 to 2012, we trained four machine learning algorithms to forecast debt paydown over a one-year horizon. An evaluation of these candidate models on half of the hold-out sample (20% of the original dataset) showed...

Consider using the simple moving average (MA) rule of Gartley (1935) to determine when to buy stocks, and when to sell them and switch to the risk-free rate. In comparison, how might the performance be affected if the frequency is changed to the use of MA calculations? The empirical results show...

Portfolio recommendations should include, beyond an estimate of the expected return on the investment, also an assessment of the associated level of risk. This paper introduces a simple methodology to assign stock recommendations based on a firm valuation procedure that replaces the conventional...

Consider using the simple moving average (MA) rule of Gartley (1935) to determine when to buy stocks, and when to sell them and switch to the risk-free rate. In comparison, how might the performance be affected if the frequency is changed to the use of MA calculations? The empirical results show...

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

The purpose of this paper is to make a quantitative and qualitative critical analyse regarding the three important aspects of stock market evolution. First, the forecasting problems are presented and analyse in order to establish the main problems and the potential solutions. Second, the...