We test for the performance of a series of volatility forecasting models (GARCH 1,1; EGARCH 1,1; CGARCH) in the context of several indices from the two oldest cross-border exchanges (Euronext; OMX). Our findings overall indicate that the EGARCH (1,1) model outperforms the other two, both before...

Can economic theory help - forecasting key macroeconomic variables? This article aims to provide some insight into the question by drawing lessons from the literature. The definition of ‘economic theory’ includes a broad range of examples, such as accounting identities, disaggregation and...

Unlike previous studies which have examined the role of financial analysts in developed economies, the aim of this paper is to investigate whether following the Tunisian stock market opening, both the analyst forecast accuracy and the market’s reliance on analyst forecasts, increase with time....

We utilise tweets during trading hours and non-trading hours from StockTwits, an investment-based social media, to produce positive and negative sentiment measures. Then, we determine whether StockTwits sentiment could predict US index futures returns. We find positive sentiment from trading...

We investigate the causal impacts of air pollution on analyst forecast accuracy around earnings announcements. Using the air quality index in analyst workplaces, we provide direct evidence of the following. First, air pollution significantly reduces analysts' earnings forecast accuracy in...

This paper investigates the relationships among cross-sectional stock returns and analysts' forecast revisions, forecast dispersion and momentum. Market rewards the strategy in pursuit of revision up and away from revision down by 22.7% per annum over the 1983-2015 periods. I find that the...

We review the literature on recurring firm events and predictable returns. Many common firm events recur on a predictable basis, such as earnings and dividends, among others. These events tend to be associated with large positive returns in the period when those events are predicted to occur...

Individuals and asset managers trade aggressively, resulting in high volume in asset markets, even when such trading results in high risk and low net returns. Asset prices display patterns of predictability that are difficult to reconcile with rational expectations – based theories of price...

The study examined high volatile assets, specifically the currency exchange rate of the open financial market. Takes into consideration the five most traded paired currencies of the global financial market. And observed, generally, the data set of the unit currency exchange rate exhibit...

Recent evidence indicates that market model alphas are stronger predictors of mutual fund flows than alphas with other models. Berk and van Binsbergen (2016) claim that this evidence indicates CAPM is the best asset pricing model but Barber, Huang and Odean (2016) (BHO) claim it is evidence...