Narrow search
Showing 1 - 10 of 5,468
Cover Image
Optimizing stock market returns during global pandemic using regression in the context of Indian stock market
Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10
Stock markets around the world experienced a massive collapse during the first wave of COVID-19. Roughly in the month of January 2021, the second wave of COVID-19 struck in India, reaching its peak in May, and by the end of May, the active cases started to decline. A third wave is again...
Persistent link: https://www.econbiz.de/10012627066
Cover Image
On the properties of regression test of stock returns predictability using dividend-price ratios
Moon, Seongman; Velasco, Carlos - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 151-173
Persistent link: https://www.econbiz.de/10010233601
Cover Image
Characteristic-sorted portfolios : estimation and inference
Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...
Persistent link: https://www.econbiz.de/10011523775
Cover Image
Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
Cover Image
The information content of equity block trades on the Warsaw Stock Exchange : an estimation of shares' returns with the usage of simple linear regression and multivariate adaptive ...
Kurek, Bartosz - In: Journal of forecasting 33 (2014) 6, pp. 433-454
Persistent link: https://www.econbiz.de/10010425516
Cover Image
Effect of insider trading on stock characteristics
Nanda, Sudipta Kumar; Barai, Parama - In: Asian journal of accounting research 6 (2021) 2, pp. 210-227
Persistent link: https://www.econbiz.de/10012614376
Cover Image
The performance of the Indian stock market during COVID-19
Chaudhary, Rashmi; Bakhshi, Priti; Gupta, Hemendra - In: Investment management and financial innovations 17 (2020) 3, pp. 133-147
Persistent link: https://www.econbiz.de/10012405625
Cover Image
Predictability in equity markets : estimation and inference
Kiss, Tamás - 2019
Persistent link: https://www.econbiz.de/10012292152
Cover Image
Development of stock market trend prediction system using multiple regression
Asghar, Muhammad Zubair; Rahman, Fazal; Kundi, Fazal Masud - In: Computational and mathematical organization theory 25 (2019) 3, pp. 271-301
Persistent link: https://www.econbiz.de/10012098937
Cover Image
Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018
In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the … multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and … the multi-step time-varying coefficient predictive regression model, in which the predictive variables are stochastically …
Persistent link: https://www.econbiz.de/10011775136