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We study the effect of country-specific noise on stock price comovement. Using a sample of dual-listed stocks, we show that the effect persists over time for some largest A-shares traded in China, but diminishes quickly for their H-shares traded in Hong Kong. We then examine whether the noise...
Persistent link: https://www.econbiz.de/10013033771
We examine whether simple VARs can produce empirical portfolio rules similar to those obtained under a range of multivariate Markov switching models, by studying the effects of expanding both the order of the VAR and the number/selection of predictor variables included. In a typical stock-bond...
Persistent link: https://www.econbiz.de/10013137095
We examine whether simple VARs can produce empirical portfolio rules similar to those obtained under a range of multivariate Markov switching models, by studying the effects of expanding both the order of the VAR and the number/selection of predictor variables included. In a typical stock bond...
Persistent link: https://www.econbiz.de/10013149308
The asset allocation is a practical problem for most institutional and private investors, who routinely deal with a wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over time. Many studies find that the expected returns have...
Persistent link: https://www.econbiz.de/10013055149
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...
Persistent link: https://www.econbiz.de/10009746573
theory suggests that with increasing labor income risk, the reluctance of households to hold stocks increases. We propose to …
Persistent link: https://www.econbiz.de/10010350417
In this article we derive a microfounded model of money demand under uncertainty built on intertemporally optimizing risk-averse households. Deriving a complete solution of the optimization problem taking the intertemporal budget constraint into account where linearization procedures in our...
Persistent link: https://www.econbiz.de/10011790638
in some specific domains.We discuss some of the recent discoveries in the mathematical theory of machine learning that … reduce the gap between theory and practice. We conduct experiments in the financial time series domain using deep neural … financial time series domain. This is consistent with the finance practitioner's theory that backtesting ( training data …
Persistent link: https://www.econbiz.de/10013310497
Prior research finds expected returns decrease in firm-level total asset growth. This study shows that external growth, measured as asset growth raised from capital markets, has stronger power than total asset growth predicting the cross section of average returns. External growth subsumes the...
Persistent link: https://www.econbiz.de/10012970654
Persistent link: https://www.econbiz.de/10011844738