Showing 1 - 10 of 17,119
We show that the slope of the yield curve affects bank lending and economic activity through an "expected bank profitability channel." Using detailed banking data and term premium shocks identified via instrumental variables or event studies, we show that a steeper yield curve-when driven by...
Persistent link: https://www.econbiz.de/10015419869
Empirical Finance is in crisis: Our most important "discovery" tool is historical simulation, and yet, most backtests published in leading Financial journals are flawed.The problem is well-known to professional organizations of Statisticians and Mathematicians, who have publicly criticized the...
Persistent link: https://www.econbiz.de/10013022708
In order to predict future relative results within a universe of equity portfolios, the authors hypothesize that it is possible to use selected portfolio characteristics as opposed to relying on past performance. This research uses Active Share and Concentration Coefficient data for universes of...
Persistent link: https://www.econbiz.de/10013040034
The purpose of this paper is to study the impact of beating analysts' forecasts and the impact of analysts' forecast dispersion on the pricing of firms' credit default swaps (CDSs). CDS premium is the compensation required by investors for bearing firms' credit default risk. Sell-side analysts...
Persistent link: https://www.econbiz.de/10013115431
Default correlation is a critical concept in risk management for fixed income investment, bank management, and insurance industry, working capital management, among many. We extend the Leland-Toft term structure model into a two-firm environment and predict the default correlation between two...
Persistent link: https://www.econbiz.de/10013090295
Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on...
Persistent link: https://www.econbiz.de/10011722180
We extend the theory of strategic trading around a predictable liquidation by considering the role of market resiliency … find evidence of the systematic use of predatory strategies. On balance, the theory and evidence supports that strategic …
Persistent link: https://www.econbiz.de/10013037053
This paper presents evidence suggesting that artificial neural networks approach (ANNs) outperform traditional statistical methods and can forecast equity premiums reasonably well. The study replicates out-of-sample estimates of regression using ANN with economic fundamentals as inputs. The...
Persistent link: https://www.econbiz.de/10012895878
We develop a novel ranking methodology to rank the market forecaster. In particular, we distinguish forecasts by their specificity, rather than considering all predictions and forecasts equally important, and we also analyze the impact of the number of forecasts made by a particular forecaster....
Persistent link: https://www.econbiz.de/10012959610
Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on...
Persistent link: https://www.econbiz.de/10012854038