Showing 1 - 10 of 3,737
recent years, both in the US and in other markets. This paper also compares five different information aggregation approaches … approach outperform other approaches in capturing the return-related information. Moreover, results based on equal …
Persistent link: https://www.econbiz.de/10012913743
We propose a new approach for estimating expected returns on individual stocks from a large number of firm characteristics. We treat expected returns as latent variables and apply the partial least squares (PLS) estimator that filters them out from the characteristics under an assumption that...
Persistent link: https://www.econbiz.de/10012974115
Betas from return regressions are commonly used to measure systematic financial market risks. "Good" beta measurements are essential for a range of empirical inquiries in finance and macroeconomics. We introduce a novel econometric framework for the nonparametric estimation of time-varying betas...
Persistent link: https://www.econbiz.de/10014354368
We examine the effects of local newspapers on firms’ information environments. With newspaper employment dropping … precipitously in the last few decades, we posit that these changes will have a detrimental effect on local firms’ information … environments. Consistent with local news improving information environments, we find that local newspaper intensity is negatively …
Persistent link: https://www.econbiz.de/10014236604
proposes a partial least squares disagreement index by aggregating information across individual disagreement measures and …
Persistent link: https://www.econbiz.de/10012853369
This paper investigates the speed of price discovery when information becomes publicly available but requires costly …) protocols. Public blockchain data provides the precise time a hack's transactions are recorded - becoming public information … isolate the price impact occurring during the interval characterized by information asymmetry driven purely by differential …
Persistent link: https://www.econbiz.de/10015396109
This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using 5 minutes intraday return series ranging from 05-jan-2015 to 06-Aug-2015. The study employed ARFIMA-FIGARCH model and ARFIMA-APARCH model and compared...
Persistent link: https://www.econbiz.de/10013003892
This online appendix to "Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences" includes the copula density function for the Clayton-Frank-Gumbel mixture copula and the details for the likelihood based estimation of the multivariate currency basket log returns....
Persistent link: https://www.econbiz.de/10013004092
Testing for constant expected returns and forecasting future returns necessitate the information beyond a single …
Persistent link: https://www.econbiz.de/10012919518
prominent as the size decreases. The study also shows that size is not having an impact on the information content of variables …. The information content is extremely important during crisis period …
Persistent link: https://www.econbiz.de/10013102207