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Climate Change Exposure and Stock Return Predictability
Xu, Jiangmin; Sun, Cheng; You, Yihui - 2021
This paper finds evidence that stock returns vary with the physical climate change exposure of firms in a predictable manner. We construct measures of exposures to physical climate changes at the firm level, and find that firms with high climate change exposures experience lower future...
Persistent link: https://www.econbiz.de/10013248340
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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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Hedging, hedge accounting, and earnings predictability
Ranasinghe, Tharindra; Sivaramakrishnan, Konduru; Yi, Lin - In: Review of accounting studies 27 (2022) 1, pp. 35-75
Persistent link: https://www.econbiz.de/10013172504
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Effectiveness of volatility models in option pricing : evidence from recent financial upheavals
Singh, Vipul Kumar - In: Journal of advances in management research : JAMR 10 (2013) 3, pp. 352-375
Persistent link: https://www.econbiz.de/10010206639
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Investment sizing with deep learning prediction uncertainties for high-frequency eurodollar futures trading
Spears, Trent; Zohren, Stefan; Roberts, Stephen - In: The journal of financial data science 3 (2021) 1, pp. 57-73
Persistent link: https://www.econbiz.de/10012486253
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Estimating stochastic volatility : the rough side to equityreturns
Haynes, Jonathan; Schmitt, Daniel; Grimm, Lukas - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 449-469
Persistent link: https://www.econbiz.de/10012127236
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Testing the informativeness of non-price variables with MIDAS touch
Kotyan, Avinash; Mallikarjunappa, T. - In: IIMB management review 32 (2020) 2, pp. 189-207
Persistent link: https://www.econbiz.de/10012489685
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Pricing cryptocurrency options with machine learning regression for handling market volatility
Brini, Alessio; Lenz, Jimmie - In: Economic modelling 136 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10014549153
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Can technical indicators based on underlying assets help to predict implied volatility index
Shi, Yafeng; Shi, Yanlong; Ying, Tingting - In: The journal of futures markets 44 (2024) 1, pp. 57-74
Persistent link: https://www.econbiz.de/10014475424
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The implications of firms' derivative usage on the frequency and usefulness of management earnings forecasts
Campbell, John L.; Cao, Sean Shun; Chang, Hye Sun; … - In: Contemporary accounting research : the journal of the … 40 (2023) 4, pp. 2409-2445
Persistent link: https://www.econbiz.de/10014442841