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Predictability of earnings and its impact on stock returns : evidence from India

Kundu, Sayantan; Banerjee, Aditya - In: Cogent economics & finance 9 (2021) 1, pp. 1-24

The purpose of this paper is to analyse the predictability of earnings information before the quarterly disclosure date. Two categories of firms are contrasted: the firms that announce better quarterly earnings than the prior period and the firms that do not. The paper uses a sample of 67...

Persistent link: https://www.econbiz.de/10013183853

Measuring risk information

Smith, Kevin; So, Eric - 2020

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and simple to implement. We derive this measure from an option-pricing model where investors anticipate an announcement that simultaneously conveys information on the announcer's...

Persistent link: https://www.econbiz.de/10012244502

Intraday Momentum : The First Half-Hour Return Predicts the Last Half-Hour Return

Gao, Lei - 2017

Our research on data for the S&P 500 ETF from 1993-2013 documents an intraday momentum pattern: the first half-hour return on the market (from the previous day's close) predicts the last half-hour return. The predictability, both statistically and economically significant, is stronger on more...

Persistent link: https://www.econbiz.de/10012972249

Forecasting Stock Market Volatility with Macroeconomic Variables in Real Time

Döpke, Jörg - 2016

We compared forecasts of stock market volatility based on real-time and revised …

Persistent link: https://www.econbiz.de/10012989311

Can Stock Analysts Predict Volatility?

Medovikov, Ivan - 2018

/B/E/S consensus recommendations issued for U.S.-listed equities during January 2015 with realized volatility of daily security returns … to be associated with future changes in volatility, suggesting that analyst ratings can help manage portfolio risk. This … relationship appears to be asymmetric and is most pronounced among the best-rated securities which experience largest volatility …

Persistent link: https://www.econbiz.de/10012917695

Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us

Haase, Felix; Neuenkirch, Matthias - 2021

The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...

Persistent link: https://www.econbiz.de/10013250734

Financial Stress and Forecasting UK Equity Risk Premiums

Berry, William; Dietrich, Diemo; Sollis, Robert - 2022

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...

Persistent link: https://www.econbiz.de/10013291975

Forecasting the volatilities of the Nigeria stock market prices

Ibrahim, Sikiru O. - In: CBN journal of applied statistics 8 (2017) 2, pp. 23-45

years. The forecasting performance shows the volatility in the Nigeria stock market to be on the increase for the next four …

Persistent link: https://www.econbiz.de/10011843540

Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

Baba, Boubekeur; Sevil, Güven - In: Financial innovation : FIN 7 (2021), pp. 1-25

time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new …

Persistent link: https://www.econbiz.de/10012594935

Covariance Forecasting in Equity Markets

Symitsi, Efthymia - 2018

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …

Persistent link: https://www.econbiz.de/10012915984

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