Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

The relationships between crude and product prices are crucial throughout oil markets and especially so within the refining industry, where they define the refinery margin between cost of inputs (crudes) and value of outputs (products). The oil market is global but regional factors are also...

Anomalies are empirical results that seem to be inconsistent with maintained theories of asset-pricing behavior. They indicate either market inefficiency (profit opportunities) or inadequacies in the underlying asset-pricing model. After they are documented and analyzed in the academic...

In present study, we contribute to the discussion on international stock market correlations, by analyzing interdependencies between stock returns in US and Israeli stock exchanges. In particular, we concentrate on the original feature of Tel Aviv Stock Exchange (TASE) where the trading week...

Quantitative research analysts (Quants) produce in-depth quantitative and econometric modeling of market anomalies to assist sell-side analysts and institutional clients with stock selection strategies. Quants are associated with more efficient analyst forecasting behavior on anomaly predictors...

Long-short anomaly returns are strongly related to the day of the week. Anomalies for which the speculative leg is the short (long) leg experience the highest (lowest) returns on Monday. The opposite pattern is observed on Fridays. The effects are large; Monday (Friday) alone accounts for over...

The level of daily stock returns is generally regarded as unpredictable. Instead of the level, we focus on the signs of these returns and generate forecasts using various statistical classification techniques, such as logistic regression, generalized additive models, or neural networks. The...

Market efficiency has been analyzed through many studies using different linear methods. However, studies on financial econometrics reveal that financial time series exhibit nonlinear patterns because of various reasons. This paper examines market efficiency at Borsa Istanbul using a smooth...