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Macroeconomic News and Treasury Futures Return Volatility : Do Treasury Auctions Matter?
Smales, Lee A. - 2020
statistically significant impact on the Treasury futures market. The occurrence of an auction, which increases supply in the …
Persistent link: https://www.econbiz.de/10012849805
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Macroeconomic news and treasury futures return volatility : do treasury auctions matter?
Smales, L. A. - In: Global finance journal 48 (2021), pp. 1-30
Persistent link: https://www.econbiz.de/10012886875
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Chapter 26 Art Auctions
Ashenfelter, Orley; Graddy, Kathryn - In: Handbook of the economics of art and culture : volume 1, (pp. 909-945). 2006
auction system works, what it indicates about price formation, and how well it performs. We begin with a short description of … the mechanics of the auction system and then organize the remainder of our discussion around two major topics. The first … topic concerns how researchers have used auction prices. We begin by discussing the returns to holding art and whether …
Persistent link: https://www.econbiz.de/10014023803
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Beauty Contests and Irrational Exuberance : A Neoclassical Approach
Angeletos, George-Marios - 2010
The arrival of new, unfamiliar, investment opportunities is often associated with "exuberant" movements in asset prices and real economic activity. During these episodes of high uncertainty, financial markets look at the real sector for signals about the profitability of the new investment...
Persistent link: https://www.econbiz.de/10013146127
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Can a Machine Learn from Behavioral Biases? Evidence from Stock Return Predictability of Deep Learning Models
Byun, Suk Joon; Cho, Sangheum; Kim, Da-Hea - 2022
We examine how the return predictability of deep learning models varies with stocks’ vulnerability to investors’ behavioral biases. Using an extensive list of anomaly variables, we find that the long-short strategy based on deep learning signals generates greater returns for stocks that are...
Persistent link: https://www.econbiz.de/10013302679
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A New Value-Weighted Total Return Index for the Finnish Stock Market
Nyberg, Peter M. - 2009
This paper presents a new monthly value-weighted, all-share total return index for the Finnish stock market. The index covers the period from the establishment of the Helsinki Stock Exchange in October 1912 to the beginning of 1970, after which the WI index by Berglund et al (1983) and later in...
Persistent link: https://www.econbiz.de/10013153613
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Are Monthly Market Returns Predictable?
Keppo, Jussi - 2020
We document significant persistence in the market timing performance of active individual investors, suggesting that some investors are skilled at timing. Using data on all trades by active Finnish individual investors over almost 15 years, we also show that the net purchases of skilled versus...
Persistent link: https://www.econbiz.de/10012856623
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Expected inflation, expected stock returns, and money illusion : what can we learn from survey expectations?
Schmeling, Maik (contributor); Schrimpf, Andreas (contributor) - 2008
We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...
Persistent link: https://www.econbiz.de/10003727414
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Managing adverse dependence for portfolios of collateral in financial infrastructures
García, Alejandro (contributor);  … - 2007
We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable...
Persistent link: https://www.econbiz.de/10003462966
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Size, value and liquidity : do they really matter on an emerging stock market?
Lischewski, Judith; Voronkova, Svitlana - 2010
The paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous literature focused on Latin American and Asian developing markets, Central and Eastern European markets remain under-researched. By focusing on the Polish stock market, we aim to fill in...
Persistent link: https://www.econbiz.de/10008660508