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Sparse Multivariate Modeling for Stock Returns Predictability
Bernardi, Mauro; Bianchi, Daniele; Bianco, Nicolas - 2021
We develop a new variational Bayes estimation method for large-dimensional sparse vector autoregressive models with exogenous predictors. Unlike existing Markov chain Monte Carlo (MCMC) and variational Bayes (VB) algorithms, our approach is not based on a structural form representation of the...
Persistent link: https://www.econbiz.de/10013239660
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"Other information" as an explanatory factor for the opposite market reactions to earnings surprises
Chen, Vincent Y. S.; Tiras, Samuel L. - In: Review of quantitative finance and accounting 45 (2015) 4, pp. 757-784
Persistent link: https://www.econbiz.de/10011532207
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The information content of permanent versus transitory earnings : UK evidence
Mostafa, Wael - In: International journal of accounting and finance 5 (2015) 2, pp. 117-132
Persistent link: https://www.econbiz.de/10011538322
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Testing efficiency of Indian stock market with respect to information content of corporate event announcements : study on IT companies
Raja, M. - In: Finance India : the quarterly journal of Indian … 27 (2013) 4, pp. 1291-1296
Persistent link: https://www.econbiz.de/10010391877
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Dividend changes and future profitability : evidence from the Turkish stock market
Kadıoğlu, Eyüp; Öcal, Nurcan - In: International journal of economics and finance 8 (2016) 3, pp. 196-205
Persistent link: https://www.econbiz.de/10011448459
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Quantifying differential interpretation of public information using financial analysts' earnings forecasts
Sheng, Xuguang; Thevenot, Maya - In: International journal of forecasting 31 (2015) 2, pp. 515-530
Persistent link: https://www.econbiz.de/10011474204
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Informationsgehalt von Credit Ratings : eine empirische Analyse europäischer Aktien- und Anleihemärkte
Hundt, Steffen - 2015
Persistent link: https://www.econbiz.de/10011403507
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Earnings expectations and the relative information content of dividend and earnings announcements
Best, Roger J.; Best, Ronald W. - In: Journal of economics and finance 24 (2000) 3, pp. 232-245
Persistent link: https://www.econbiz.de/10001569177
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The information content of management disclosures on going concern : an industry level analysis of bankruptcy prediction and investor reaction
Visvanathan, Gnanakumar - In: Journal of managerial issues : JMI 33 (2021) 4, pp. 396-419
Persistent link: https://www.econbiz.de/10012792359
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How does divergence of opinions affect the relative trading activity and information content in option and stock prior to takeover announcement?
Huang, Han-Ching; Tung, P. S. - In: The quarterly review of economics and finance : journal … 60 (2016), pp. 162-171
Persistent link: https://www.econbiz.de/10011627400