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Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting

Choi, Youngsoo - 2012

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Persistent link: https://www.econbiz.de/10013097543

The impact of heterogeneous signals on stock price predictability in a rational expectations model

Winter, Christoph - 2018

Through extending a standard Grossman and Stiglitz (1980) noisy rational expectations economy by a heterogeneous signal structure with signal-specific differences in uncertainty, we show that price momentum as well as reversal are not intrinsically at odds with rational behavior. Differences in...

Persistent link: https://www.econbiz.de/10011952636

Anticipation of Management Forecasts and Analysts’ Private Information Search

Altschuler, Dora - 2015

We examine how analysts' anticipation of a management forecast affects their search for private information. Analysts are likely to acquire more private information because of the potential gains from trading on that information before a publicly disclosed management forecast. However, this...

Persistent link: https://www.econbiz.de/10013031704

Efficient Markets and the Law : A Predictable Past and an Uncertain Future

Hu, Henry T. C. - 2012

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...

Persistent link: https://www.econbiz.de/10013100915

Textual Sentiment in Finance : A Survey of Methods and Models

Kearney, Colm - 2016

We survey the textual sentiment literature, comparing and contrasting the various information sources, content analysis methods, and empirical models that have been used to date. We summarize the important and influential findings about how textual sentiment impacts on individual, firm-level and...

Persistent link: https://www.econbiz.de/10013007694

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …

Persistent link: https://www.econbiz.de/10013013057

Target price forecasts : The roles of the 52-week high price and recent investor sentiment

Clarkson, Peter M.; Nekrasov, Alexander; Simon, Andreas; … - 2020

This paper reveals that in addition to fundamental factors, the 52-week high price and recent investor sentiment play an important role in analysts' target price formation. Analysts' forecasts of short-term earnings and long-term earnings growth are shown to be important explanatory variables...

Persistent link: https://www.econbiz.de/10012857242

Three essays on forecasting and information acquisition in finance

Putintseva, Maria - 2013

Persistent link: https://www.econbiz.de/10010233956

Anticipation of management forecasts and analysts' private information search

Altschuler, Dora; Chen, Gary; Zhou, Jie - In: Review of accounting studies 20 (2015) 2, pp. 803-838

Persistent link: https://www.econbiz.de/10011283637

Asymmetric information and volatility forecasting in commodity futures markets

Liu, Qingfu; Wong, Ieokhou; An, Yunbi; Zhang, Jinqing - In: Pacific-Basin finance journal 26 (2014), pp. 79-97

Persistent link: https://www.econbiz.de/10010498758

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