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We show that firms' R&D activities can predict the stock returns of their industry peers. When an industry experiences substantial R&D growth driven by the activities of a small group of firms, industry peers experience positive abnormal returns and abnormal operating performance despite having...
Persistent link: https://www.econbiz.de/10013036461
We examine the effect of investor attention spillover on stock return predictability. Using a novel measure, the News Network Triggered Attention index (NNTA), we find that NNTA negatively predicts market returns with a monthly in(out)-of-sample R-square of 5.97% (5.80%). In the cross-section, a...
Persistent link: https://www.econbiz.de/10012934530
The study of connectedness is key to assess spillover effects and identify lead-lag relationships among market exchanges trading the same asset. By means of an extension of Diebold and Yilmaz (2012) econometric connectedness measures, we examined the relationships of five major Bitcoin exchange...
Persistent link: https://www.econbiz.de/10012127873
We develop a new methodology to analyse spillovers between the real and financial sides of the economy that employs a … detailed analysis of macro- financial spillovers for the US economy, we find that the additional high-frequency information … preserved by our mixed-frequency approach results in estimated spillovers that are typically substantially higher than those …
Persistent link: https://www.econbiz.de/10011609954
We develop Hawkes models in which events are triggered through self as well as cross-excitation. We examine whether incorporating cross-excitation improves the forecasts of extremes in asset returns compared to only self-excitation. The models are applied to US stocks, bonds and dollar exchange...
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