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Comparing the market risk premia forecasts in JSE and NYSE equity markets
Oikonomikou, Leoni Eleni - 2016 - Corrected version: March 2016
This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks (ANNs), namely the Elman Network (EN) and the Higher Order Neural network (HONN), univariate ARMA and exponential smoothing techniques, such as Single Exponential Smoothing (SES)...
Persistent link: https://www.econbiz.de/10011454082
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Forecasting the term structure of crude oil futures prices with neural networks
Baruník, Jozef; Malinská, Barbora - 2015
The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed...
Persistent link: https://www.econbiz.de/10011378719
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Forecasting Stock Returns with Model Uncertainty and Parameter Instability
Zhang, Hongwei - 2019
We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm that the simple combination of individual predictors is superior. However, sophisticated models improve dramatically...
Persistent link: https://www.econbiz.de/10012901029
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The momentum effect exemplifies the influence of investors' irrational behaviour on prices of shares and stocks : an analysis of the momentum effect on the Warsaw Stock Exchange
Merło, Paweł; Konarzewski, Patryk - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 56-64
An efficient market should not show any anomalies. When new information reaches a market which is efficient, it should automatically translate into prices of assets, which ought to eliminate the possibility of gaining an advantage over other investors, thus preventing excess profits. However,...
Persistent link: https://www.econbiz.de/10011393280
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Modeling the effects of investor sentiment and conditional volatility in international stock markets
Uygur, Utku; Taş, Oktay - In: Journal of applied finance & banking 2 (2012) 5, pp. 239-260
Behavioral finance argues that some properties of asset prices are most reasonably considered as deviations from fundamental value and they are caused by the presence of traders who are not fully rational hence called noise traders. Noise trader approach assumes that sentiment traders exert...
Persistent link: https://www.econbiz.de/10009673686
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Keynesian Utilities : Bulls and Bears
Bracha, Anat - 2013
We propose Keynesian utilities as a new class of non-expected utility functions representing the preferences of investors for optimism, defined as the composition of the investor's preferences for risk and her preferences for ambiguity. The optimism or pessimism of Keynesian utilities is...
Persistent link: https://www.econbiz.de/10013083927
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Worrying About the Stock Market : Evidence from Hospital Admissions
Engelberg, Joseph - 2013
Using individual patient records for every hospital in California from 1983-2011, we find a strong inverse link between daily stock returns and hospital admissions, particularly for psychological conditions such as anxiety, panic disorder, or major depression. The effect is nearly instantaneous...
Persistent link: https://www.econbiz.de/10013085511
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Time-Varying Exchange Rate Exposure and Exchange Rate Risk Pricing in the Canadian Equity Market
Al-Shboul, Mohammad - 2013
This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM),...
Persistent link: https://www.econbiz.de/10013072274
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Does Confidence Bias Exist in Indian Stock Market?
Azam, Qamar - 2020
There has been growing literature on trading volume and overconfidence bias in the stock market. The common phenomenon … overconfidence bias. This paper attempts to examine whether overconfidence bias exists in the Indian stock market. For this, we … return. We also test the presence of overconfidence bias for the pre and post-crisis periods. Our result confirms the …
Persistent link: https://www.econbiz.de/10012833441
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Outcomes of Investing in OTC Stocks
White, Joshua T. - 2016
This paper analyzes three aspects of over-the-counter (OTC) stocks: (1) the recent trends in the OTC stock market structure and size; (2) the documented properties of OTC stocks; and (3) the differences in returns based on investor and stock characteristics. Approximately 10,000 OTC stocks were...
Persistent link: https://www.econbiz.de/10012977093