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Can Investor Sentiment Predict Value Premium in China?
Jiang, Zhaohui; Anderson, Keith P.; Stafylas, Dimitrios - 2023
We explore the value premium in the Chinese stock market and how to exploit it using a new investor sentiment index. We extensively discuss the performance of BM, CFP, EP and SP factors in China. Consistent with the experience of other countries, BM generates more of a value premium in small cap...
Persistent link: https://www.econbiz.de/10014265112
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Linear and nonlinear (non-)forecastability of high frequency exchange rates
Brooks, Chris - 1996
Persistent link: https://www.econbiz.de/10000944084
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Forecasting exchange rate volatility using conditional variance models selected by information criteria
Brooks, Chris - 1998
Persistent link: https://www.econbiz.de/10000982695
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On the predictive content of leading indicators : the case of US real estate markets
Tsolacos, Sotiris; Brooks, Chris; Nneji, Ogonna - In: The journal of real estate research 36 (2014) 4, pp. 541-573
Persistent link: https://www.econbiz.de/10010482245
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Volatility forecasting for risk management
Brooks, Chris; Persand, Gita - In: Journal of forecasting 22 (2003) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10001736943
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Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting
Brooks, Chris; Hinich, Melvin J. - In: Journal of forecasting 20 (2001) 3, pp. 181-196
Persistent link: https://www.econbiz.de/10001570836
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The trading profitability of forecasts of the gilt-equity yield ratio
Brooks, Chris; Persand, Gita - In: International journal of forecasting 17 (2001) 1, pp. 11-29
Persistent link: https://www.econbiz.de/10001549772
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A trading strategy based on the led-lag relationship between the spot index and futures contract for the FTSE 100
Brooks, Chris; Rew, Alistair G.; Ritson, Stuart - In: International journal of forecasting 17 (2001) 1, pp. 31-44
Persistent link: https://www.econbiz.de/10001549774
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Commodity futures prices : more evidence on forecast power, risk premia and the theory of storage
Brooks, Chris; Prokopczuk, Marcel; Wu, Yingying - 2011
Persistent link: https://www.econbiz.de/10009375423
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On the predictive content of leading indicators : the case of US real estate markets
Tsolacos, Sotiris; Brooks, Chris; Nneji, Ogonna - 2013
Persistent link: https://www.econbiz.de/10009782816