The objective of this paper is to classify a group of EMU countries according to the main determinants of long-term sovereign bond yields. We apply the Classification and Regression Tree method (CART). According to the findings, countries with lower inflation, a lower debt to GDP ratio, a lower...

We investigate whether management's decision regarding the recognition of the valuation allowance for deferred tax assets (VA) under ASC 740 provides incremental information about the persistence of accounting losses. We introduce a classification scheme that assigns loss firm-years into three...

We investigate whether management's decision regarding the recognition of the valuation allowance (VA) for deferred tax assets provides incremental information about the persistence of accounting losses. We introduce a classification scheme that assigns loss firm-years into three categories...

The traditional active vs passive debate has been shaken up by the emergence of “smart beta” strategies. As the population of these products has exploded, the quest to differentiate among them has focused on portfolio construction techniques rather than what actually matters, namely...

Almost $10 trillion is benchmarked to Morgan Stanley Capital International's Developed, Emerging, Frontier, and standalone market indexes. Reclassifications from one index to another require thousands of investors to decide how to react. We study a comprehensive sample of past reclassifications...

This article examines how the passage of the EU Taxonomy Regulation (TR) has affected the realized returns of TR-aligned companies. The TR introduces a new classification scheme for environmentally sustainable economic activities as an alternative to traditional environmental, social, and...

This paper compares models trained with classification algorithm with those trained using regression algorithm. We use technical indicators, 43 bond characteristics and 94 stock characteristics as predictors. We find very strong evidences of the superior predictive ability of classification...

Fund managers always keep their tab on the market, and keep searching for avenues where they can park their assets for a higher return. Although the equity markets, all over the world are much more popular for such activities, and have started to assume a more prominent role during the past...