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Expected lifetime range ratio to find mean reversion : evidence from Indian stock market

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 6 (2018) 1, pp. 1-23

We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

Persistent link: https://www.econbiz.de/10011905649

The Information Content of Target Price Forecasts : Evidence from Mergers and Acquisitions

Ho, Tuan Quoc; Brownen‐Trinh, Ruby; Xu, Fangming - 2021

more likely to become a takeover target and offer premium and acquirers’ announcement returns are positively associated …’ takeover likelihood generates economically significant returns. Our results are robust to a battery of additional analysis, and … useful for participants in the corporate takeover markets …

Persistent link: https://www.econbiz.de/10013237497

Two tales of return predictability : the case of Asia-Pacific equity markets

Shynkevich, Andrei - In: Journal of forecasting 36 (2017) 3, pp. 257-272

Persistent link: https://www.econbiz.de/10011729255

The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models

Kuryłek, Wojciech - In: Journal of banking and financial economics 19 (2023) 1, pp. 26-43

The proper forecasting of listed companies' earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of...

Persistent link: https://www.econbiz.de/10014285928

Finanzprognosen versus Random-Walk-Theorie : Perspektiven eines nichtlinearen Kapitalmarktmodells

Kipp, Andreas - 2002 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001724785

The information content of forward and futures prices : market expectations and the price of risk

Chernenko, Sergey V.; Schwarz, Krista B.; Wright, … - 2004

Persistent link: https://www.econbiz.de/10002117774

Evaluating the Forecasting Performance of Commodity Futures Prices

Reeve, Trevor A. - 2011

Commodity futures prices are frequently criticized as being uninformative for forecasting purposes because (1) they seem to do no better than a random walk or an extrapolation of recent trends and (2) futures prices for commodities often trace out a relatively flat trajectory even though global...

Persistent link: https://www.econbiz.de/10013121359

A comparative study of static and iterative models of ARIMA and SVR to predict stock indices prices in developed and emerging economies

Beniwal, Mohit; Archana Singh; Kumar, Nand - In: International journal of applied management science : IJAMS 15 (2023) 4, pp. 352-371

Persistent link: https://www.econbiz.de/10014391724

Overreaction and underreaction to new information and the directional forecast of exchange rates

Semenov, Andrei - In: International review of economics & finance : IREF 96 (2024) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10015323341

Predicting the unpredictable : new experimental evidence on forecasting random walks

Te, Bao; Corgnet, Brice; Hanaki, Nobuyuki; Riyanto, … - 2022

We investigate how individuals use measures of apparent predictability from price charts to predict future market prices. Subjects in our experiment predict both random walk times series, as in the seminal work by Bloomfield & Hales (2002) (BH), and stock price time series. We successfully...

Persistent link: https://www.econbiz.de/10013285949