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Herding for profits : market breadth and the cross-section of global equity returns
Zaremba, Adam; Szyszka, Adam; Karathanasopoulos, Andreas; … - In: Economic modelling 97 (2021), pp. 348-364
Persistent link: https://www.econbiz.de/10012793470
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Cross-sectional return dispersion and volatility prediction
Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Pacific-Basin finance journal 58 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012231130
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Herding States and the Predictability of Stock Market Returns
Costa, Filipe; Fortuna, Natércia; Lobão, Júlio - 2022
intense herding state are 0.26% lower per month over a six-month holding period than following an adverse herding state. Our … results are robust to using risk-adjusted returns and a continuous herding variable. Intense herding emerges during periods of … lower returns and higher volatility than adverse herding …
Persistent link: https://www.econbiz.de/10014238536
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Finding "fair value" in global equities
O'Neill, Jim; Oppenheimer, Peter; Matsui, Kathy; Moe, Tim; … - 2009
Persistent link: https://www.econbiz.de/10003818840
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Finding "fair value" in global equities ; Pt. 1
O'Neill, Jim; Oppenheimer, Peter; Matsui, Kathy; Moe, Tim; … - 2009
Persistent link: https://www.econbiz.de/10003818843
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Forecasting returns
Oppenheimer, Peter; Nielsen, Anders; Daly, Kevin - 2009
Persistent link: https://www.econbiz.de/10003818846
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Forecast evaluation of explanatory models of financial return variability
Sucarrat, Genaro (contributor) - 2008
A practice that has become widespread is that of comparing forecasts of financial return variability obtained from discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return variability modelling this raises several methodological and...
Persistent link: https://www.econbiz.de/10003694144
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Stock returns and the short-run predictability of health expenditure : some empirical evidence
Wang, Zijun - In: International journal of forecasting 25 (2009) 3, pp. 587-601
Persistent link: https://www.econbiz.de/10003877647
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The Truncated Levy Flight model : a comparative analysis of its utility in modeling the Standard and Poor's 500 and the Ghana stock exchange
Kengni Ncheuguim, Emmanuel; Appiah-Kubi, Seth; … - In: Advancing research methodology in the African context : …, (pp. 215-233). 2014
Persistent link: https://www.econbiz.de/10010459789
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Forecast evaluation of explanatory models of financial variability
Sucarrat, Genaro - 2009
A practice that has become widespread and widely endorsed is that of evaluating forecasts of financial variability obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on continuous time theory. In explanatory financial...
Persistent link: https://www.econbiz.de/10003829997