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Measuring market expectations
Baumeister, Christiane - 2021
Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...
Persistent link: https://www.econbiz.de/10012622575
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Clustering-based sector investing
Bagnara, Matteo; Goodarzi, Milad - 2023
multiple operations, we employ a clustering approach on 69 firm characteristics and allocate companies to novel economic … to quantify feature importance for clustering methods, finding that size drives differences across classical industries … while book-to-market and financial liquidity variables matter for clustering-based sectors. …
Persistent link: https://www.econbiz.de/10014318392
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Empirical Asset Pricing via Machine Learning : The Global Edition
Cakici, Nusret; Zaremba, Adam - 2022
We examine the cross-section of international equity risk premia with machine learning methods. We identify, classify, and calculate 88 market characteristics and use them to forecast country returns with various machine learning techniques. While all algorithms produce substantial economic...
Persistent link: https://www.econbiz.de/10013306087
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The Real Term Premium in a Stationary Economy with Segmented Asset Markets
Chien, YiLi - 2019
This paper proposes an equilibrium model to explain the positive and sizable term premia observed in the data. We introduce a slow mean-reverting process of consumption growth and a segmented asset market mechanism with heterogeneous trading technology to otherwise a standard heterogeneous agent...
Persistent link: https://www.econbiz.de/10012897692
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The Real Term Premium in a Stationary Economy with Segmented Asset Markets
Chien, YiLi - 2019
This article proposes a general equilibrium model to explain the positive and sizable term premia implied by the data. The authors introduce a slow mean-reverting process of consumption growth and a segmented asset-market mechanism with heterogeneous trading technologies into an otherwise...
Persistent link: https://www.econbiz.de/10012858651
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Automated machine learning and asset pricing
Healy, Jerome V.; Gregoriou, Andros; Hudson, Robert - In: Risks : open access journal 12 (2024) 9, pp. 1-12
We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...
Persistent link: https://www.econbiz.de/10015066381
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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...
Persistent link: https://www.econbiz.de/10012842392
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Risk & returns around FOMC press conferences : a novel perspective from computer vision
Marchal, Alexis - 2021
I propose a new tool to characterize the resolution of uncertainty around FOMC press conferences. It relies on the construction of a measure capturing the level of discussion complexity between the Fed Chair and reporters during the Q&A sessions. I show that complex discussions are associated...
Persistent link: https://www.econbiz.de/10012487767
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Inflation, endogenous market segmentation and the term structure of interest rates
Vries, Casper G. de; Wang, Xuedong - 2015
The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...
Persistent link: https://www.econbiz.de/10010532587
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Inflation, endogenous market segmentation and the term structure of interest rates
Vries, Casper G. de; Wang, Xuedong - 2015
The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...
Persistent link: https://www.econbiz.de/10011288797