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Efficient Markets and the Law : A Predictable Past and an Uncertain Future

Hu, Henry T. C. - 2012

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...

Persistent link: https://www.econbiz.de/10013100915

Forecasting Oil Futures Market Volatility in a Financialized World : Why Speculative Activities Matter

Chan, Kam C. - 2018

We analyze the relation between volatility and speculative activities in the crude oil futures market and provide short-term forecasts accordingly. By incorporating trading volume and opening interest (speculative ratio) into the volatility dynamics, we document the subtle interaction between...

Persistent link: https://www.econbiz.de/10012908948

Disagreement, Speculation and Management Forecasts

Dimitrov, Valentin - 2020

management forecasts. Consistent with theory, this relationship is significantly stronger when short sale constraints are more …

Persistent link: https://www.econbiz.de/10012838034

Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting

Choi, Youngsoo - 2012

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Persistent link: https://www.econbiz.de/10013097543

Textual Sentiment in Finance : A Survey of Methods and Models

Kearney, Colm - 2016

We survey the textual sentiment literature, comparing and contrasting the various information sources, content analysis methods, and empirical models that have been used to date. We summarize the important and influential findings about how textual sentiment impacts on individual, firm-level and...

Persistent link: https://www.econbiz.de/10013007694

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …

Persistent link: https://www.econbiz.de/10013013057

Target price forecasts : The roles of the 52-week high price and recent investor sentiment

Clarkson, Peter M.; Nekrasov, Alexander; Simon, Andreas; … - 2020

This paper reveals that in addition to fundamental factors, the 52-week high price and recent investor sentiment play an important role in analysts' target price formation. Analysts' forecasts of short-term earnings and long-term earnings growth are shown to be important explanatory variables...

Persistent link: https://www.econbiz.de/10012857242

Forecasting Excess Returns of the Gold Market : Can We Learn from Stock Market Predictions?

Dichtl, Hubert - 2017

As some recent studies have shown empirically, future gold price fluctuations are especially difficult to forecast. Against this background, this study evaluates the forecasting power of three methods that have been applied successfully in a stock market prediction context: 1) technical...

Persistent link: https://www.econbiz.de/10012951544

Up and Down : Forecast Revisions, Forecast Dispersion and Momentum

Liao, Yun - 2017

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...

Persistent link: https://www.econbiz.de/10012955959

Data Snooping in Equity Premium Prediction

Dichtl, Hubert - 2019

We analyze the performance of a comprehensive set of equity premium forecasting strategies. All strategies were found to outperform the mean in previous academic publications. However, using a multiple testing framework to account for data snooping, our findings support Welch and Goyal (2008) in...

Persistent link: https://www.econbiz.de/10012901853

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