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Sapkota, Niranjan - 2019

We examine all available 146 Proof-of-Work based cryptocurrencies that started trading prior to the end of 2014 and track their performance until December 2018. We find that about 60% of those cryptocurrencies were eventually in default. The substantial sums of money involved mean those...

Persistent link: https://www.econbiz.de/10012871117

Trend-based Forecast of Cryptocurrency Returns

Tan, Xilong; Tao, Yubo - 2022

We systematically re-examine the efficacy of trend-based technical indicators in predicting cryptocurrency market returns at daily, weekly, and monthly horizons. It shows that the price-based signals are more effective than the volume-based signals in the short horizon (daily and weekly), while...

Persistent link: https://www.econbiz.de/10014239497

Detect Informed Trading in Cryptocurrency : Can On-Chain Trades Predict Return of Ether?

Li, Tieming - 2023

This study is the first attempt for detecting informed trading on Ethereum blockchain. We collect detailed trading data of overs 2.7 million Ethereum addresses from their interaction with decentralized exchange on Ethereum blockchain. We first analyze the characteristics of both on-chain...

Persistent link: https://www.econbiz.de/10014350067

Measuring Investor Sentiment in the Stock Market

Beer, Francisca - 2011

Recently, investor sentiment measures have become one of the more widely examined areas in behavioral finance. A number of measures have been developed in the literature without having been fully validated, and therefore leaving in question which measure should be used for empirical exploration....

Persistent link: https://www.econbiz.de/10013119816

Value Investing in Credit Markets

Correia, Maria M. - 2012

We outline a parsimonious empirical model to assess the relative usefulness of accounting and equity market based information to explain corporate credit spreads. The primary determinant of corporate credit spreads is the physical default probability. We compare existing accounting-based and...

Persistent link: https://www.econbiz.de/10013114991

Informed Bond Trading, Corporate Yield Spreads, and Corporate Default Prediction

Han, Song - 2013

transaction costs of liquidity, credit risk, and other traditional bond pricing factors. Further, information asymmetry can help …

Persistent link: https://www.econbiz.de/10013093704

Illiquidity and Earnings Predictability

Kerr, Jon N. - 2018

those of more liquid stocks. A natural experiment utilizing an exogenous variation in liquidity amid the reduction of tick … size on the NYSE indicates that an improvement in liquidity causes an increase in earnings predictability. At the aggregate … during illiquid periods. The results highlight the importance of liquidity for forecasting fundamentals and stock …

Persistent link: https://www.econbiz.de/10012940517

The Impact of Hedge Funds on Asset Markets

Kruttli, Mathias S. - 2016

hedge funds provide liquidity in asset markets …

Persistent link: https://www.econbiz.de/10013007429

Group affiliation and default prediction

Beaver, William H.; Cascino, Stefano; Correia, Maria; … - 2018

Using a large sample of business groups from more than one hundred countries around the world, we show that group information matters for parent and subsidiary default prediction. Group firms may support each other when in financial distress. Potential group support represents an off-balance...

Persistent link: https://www.econbiz.de/10011864989

Liquidity Forecasts and Stock Returns

Schmitt, Claus; Schuster, Philipp - 2023

We suggest a procedure to predict individual stock liquidity and study the relation between stock liquidity forecasts … and average stock returns. Our forecast model reduces the root-mean-squared error by 12% for the Amihud (2002) liquidity … measure compared to realized stock liquidity in the previous month. Our liquidity forecasts capture economically large changes …

Persistent link: https://www.econbiz.de/10014351379

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