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This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
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The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling frequency. We examine returns of swaps, equity and bond indices as well as the rescaling by their volatilities over different horizons (since inception to Q2-2020). Contrarily to some...
Persistent link: https://www.econbiz.de/10012596311
The purpose of this paper is to serve as a guide for students' use of actual data for risk and return calculations. The study of stock return risk has been of interest to investors and academics for several decades. Early discussion of the “mean-variance framework” described the rationale...
Persistent link: https://www.econbiz.de/10013113774
. We also find that the cross-correlation of the trade signs turns out to be a short-memory process …
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in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …
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Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold. This study, however, shows that the two assets could barely be more different. Firstly, we analyze and compare conditional variance properties of Bitcoin and Gold as well as...
Persistent link: https://www.econbiz.de/10011906446
This article re-examines the issue of cross-sectional correlation. Kolari and Pynnonen (2010) find that, in the case of … event-date clustering with the same event window for all firms, relatively low cross-sectional correlation among abnormal …
Persistent link: https://www.econbiz.de/10012852434