In this study we propose a short-term Forex trading strategy that uses the principles of technical analysis to create buy or sell signals based on data derived from fundamental news. Short and long term sentiment inflection points are captured by consulting a set of sentiment indexes that...

Investment professionals, particularly financial analysts or security analysts evaluate securities and try to determine characteristics of securities and to identify mispriced securities. For that purpose they use different models to estimate the intrinsic value of the common stocks. Traditional...

A Micro-Founded Gordon Asset Pricing Model (MF-GAPM) is developed that allows calculation of the current E/P of an equity using reported data. In the original Gordon Model, the discounting is done assuming constant growth and a constant discount rate, with the simple result E/P = r - g where r...

It is well established that value stocks outperform glamour stocks, yet considerable debate exists about whether the return differential reflects compensation for risk or mispricing. Under mispricing explanations, prices of glamour (value) firms reflect systematically optimistic (pessimistic)...

We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...

We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...

We examine the impact of cyberattacks on bondholder wealth. Unlike stockholders, bondholders do not react in the short-term but do experience negative returns in the one-month event window. Compared to similar firms not subject to cyberattacks, we find that bondholders lost approximately 2% of...