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Characteristic-sorted portfolios : estimation and inference
Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...
Persistent link: https://www.econbiz.de/10011523775
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Investor Opinion Formation and the Distribution of Stock Returns
Osipenko, Maria; Ren, Rui - 2023
We study how the distribution of stock returns is influenced through investor opinion by applying expectile regression to abnormal NASDAQ returns over the period April 2015 - August 2019. Thereby, we differentiate between different aspects of investor opinion: investor perception, attention and...
Persistent link: https://www.econbiz.de/10014350269
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Asset Pricing and Deep Learning
Zhang, Chen - 2022
the importance of domain knowledge and financial theory when designing deep learning models. I also show return prediction …
Persistent link: https://www.econbiz.de/10014236793
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Expected Returns and Large Language Models
Jiang, Jingwen; Kelly, Bryan T.; Xiu, Dacheng - 2023
We extract contextualized representations of news text to predict returns using the state-of-the-art large language models in natural language processing. Unlike the traditional bag-of-words approach, the contextualized representation captures both the syntax and semantics of text, thus...
Persistent link: https://www.econbiz.de/10014351081
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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
descriptive statistics, autocorrelation function (ACF) and Ljung-Box Q (LB-Q) statistics, as well as the autoregressive …
Persistent link: https://www.econbiz.de/10011862130
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Implementing the panel event study
Clarke, Damian; Tapia Schythe, Kathya - 2020
Many studies estimate the impact of exposure to some quasi-experimental policy or event using a panel event study … time. In this paper we discuss the set-up of the panel event study design in a range of situations, and lay out a number of …
Persistent link: https://www.econbiz.de/10012256137
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Modeling Intraday Momentum and Reversal by a Parsimonious Diffusion Process
Ling, Shiqing - 2019
We extend the double-well potential process to a three-parameter version in order to model intraday price dynamics, with a focus on the intraday momentum and reversal. The proposed process has a parsimonious form of three parameters controlling momentum, reversal, and volatility respectively. By...
Persistent link: https://www.econbiz.de/10012868934
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Revisiting the long-run dynamic linkage between dividends and share price with advanced panel econometrics techniques
Mohapatra, Sudatta Bharati; Kar, Nirmal Chandra - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-19
setting using newly developed panel unit root, cointegration, and long-run dynamic estimation approaches. This study employed …-run relationship between share price and dividends using panel data. However, the application of recently established panel econometric … a panel dataset of 60 Bombay Stock Exchange (BSE)-listed Indian firms paying regular dividends for 28 years (1990 …
Persistent link: https://www.econbiz.de/10013470997
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Is the effect of the exchange rate on stock prices symmetric or asymmetric? : evidence from Sudan
Mohamed, Omer Ahmed Sayed; Elmahgop, Faiza Omer Mohammed - In: International journal of economics and financial issues … 10 (2020) 2, pp. 209-215
Persistent link: https://www.econbiz.de/10012215152
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Modelling Co-Movements and Tail Dependency in the International Stock Market Via Copulae
Ignatieva, Katja - 2012
This paper examines international equity market co-movements using time-varying copulae. We examine distributions from the class of Symmetric Generalized Hyperbolic (SGH) distributions for modelling univariate marginals of equity index returns. We show based on the goodness-of-fit testing that...
Persistent link: https://www.econbiz.de/10013098515