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Open Source Cross-Sectional Asset Pricing
Chen, Andrew Y. - 2020
We provide data and code that successfully reproduces nearly all cross-sectional stock return predictors. Unlike most metastudies, we carefully examine the original papers to determine whether our predictability tests should produce t-stats above 1.96. For the 180 predictors that were clearly...
Persistent link: https://www.econbiz.de/10012833630
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Open source cross-sectional asset pricing
Chen, Andrew Y.; Zimmermann, Tom - 2020
We provide data and code that successfully reproduces nearly all crosssectional stock return predictors. Unlike most metastudies, we carefully examine the original papers to determine whether our predictability tests should produce t-stats above 1.96. For the 180 predictors that were clearly...
Persistent link: https://www.econbiz.de/10012224199
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Open Source Cross-Sectional Asset Pricing
Chen, Andrew Y.; Zimmermann, Tom - 2021
We provide data and code that successfully reproduces nearly all crosssectional stock return predictors. Our 319 characteristics draw from previous meta-studies, but we differ by comparing our t-stats to the original papers' results. For the 161 characteristics that were clearly significant in...
Persistent link: https://www.econbiz.de/10014351831
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Google searches as a means of improving the nowcasts of key macroeconomic variables
Cholodilin, Konstantin Arkadʹevič; Podstawski, Maximilian - 2009
The Google Insights data are a collection of recorded Internet searches for a huge number of the keywords, which are … available since January 2004. These searches represent a kind of revealed perceptions of Internet users, which are a (possibly …
Persistent link: https://www.econbiz.de/10003897268
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Forecasting unemployment with internet search data : does it help to improve predictions when job destruction is skyrocketing?
Vicente, María Rosalia; López, Ana Jesús; Pérez, … - In: Technological forecasting & social change : an … 92 (2015), pp. 132-139
Persistent link: https://www.econbiz.de/10011389608
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Google Internet search activity and volatility prediction in the market for foreign currency
Smith, Geoffrey Peter - In: Finance research letters 9 (2012) 2, pp. 103-110
Persistent link: https://www.econbiz.de/10009615887
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Virtuelle Informationsbörsen zur Prognose und Investitionsabsicherung
Dietl, Helmut M.; Rese, Mario; Krebs, Alexander; … - 2004 - 1. Aufl
Mit der Etablierung von Wahlbörsen zur Prognose späterer Wahlergebnisse entstand eine Vielzahl von Anwendungsfeldern für virtuelle Informationsbörsen als neues Instrument der Marktforschung. Die besonders betonte prognostische Qualität des Verfahrens und die entgegengebrachte...
Persistent link: https://www.econbiz.de/10002440099
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Virtuelle Börsen als Instrument zur Marktforschung
Spann, Martin - 2002 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001717267
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Google Searches as a Means of Improving the Nowcasts of Key Macroeconomic Variables
Kholodilin, Konstantin A. - 2012
The Google Insights data are a collection of recorded Internet searches for a huge number of the keywords, which are … available since January 2004. These searches represent a kind of revealed perceptions of Internet users, which are a (possibly …
Persistent link: https://www.econbiz.de/10013116643
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Volatility Forecasting : The Role of Internet Search Activity and Implied Volatility
Basistha, Arabinda - 2019
Recent empirical literature shows that Internet search activity is closely associated with volatility prediction in … evaluate the net contribution of the Internet search activity data in forecasting volatility. We conduct in-sample analysis and … of the Internet search activity data disappears in the financial markets and substantially diminishes in the commodity …
Persistent link: https://www.econbiz.de/10012903105