Due to market volatility and complex regulations, forecasting stock price movements within the European banking sector is highly challenging. This study compares the predictive performance of Bidirectional Long Short-Term Memory (BiLSTM) and Long Short- Term Memory (LSTM) with traditional models...

Using a laboratory experiment, we investigate whether comovement can emerge between two risky assets, despite their fundamentals not being correlated. The ‘Two trees' asset pricing model developed by Cochrane et al. (2007) guides our experimental design and its predictions serve as our source...

Using a laboratory experiment, we investigate whether contagion can emerge between two risky assets, even when their fundamentals are not correlated. To guide our experimental design, we use the ‘Two trees' asset pricing model developed by Cochrane et al. (2007). The model makes time-series...

We compare the performance of popular covariance forecasting models in the context of a portfolio of major European equity indices. We find that models based on high-frequency data offer a clear advantage in terms of statistical accuracy. They also yield more theoretically consistent predictions...

We study the predictability of equity risk premiums for UK equity indexes, in particular whether stylized facts found for the US stock market also apply to the UK market. We compare the performance of economic and technical indicators with a particular focus on the time-varying nature of...

This paper examines the main drawbacks of technical analysis. Although this is widely used by practitioners, from an academic perspective it can only be seen as a form of "voodoo finance". In particular, it runs into the following pitfalls: Subjectivity; Doubtful assumptions; Unjustified...

Financial markets are expected to predict macroeconomic conditions as their movements depends upon expectations of future performance. However, existing evidence is mixed. We argue that this is because the stock return and term structure series typically used in studies fail to capture investor...

Using a unique survey dataset, I study how financial market experts form their stock market expectations. I document a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the relationships between...

This paper presents a simple rational expectations model of intertemporal asset pricing. It shows that state-independent heterogeneous risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to predictability of asset returns and high and...