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Firm characteristics and empirical factor models : a model mining experiment
Tian, Mary - In: The review of financial studies 34 (2021) 12, pp. 6087-6125
Persistent link: https://www.econbiz.de/10012694515
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Determination of the world stock indices' co-movements by association rule mining
Kartal, Burcu; Sert, Mehmet Fatih; Kutlu, Melih - In: Journal of economics, finance & administrative science 27 (2022) 54, pp. 231-246
prices between 2001 and 2019 have been created for 11 stock market indexes in the world. The association rule algorithm, one … of the stock market indexes. It is proof that the world stock indices have co-movement, and this continues as a cycle. …
Persistent link: https://www.econbiz.de/10014339088
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Predicting returns with text data
Ke, Zheng Tracy; Kelly, Bryan T.; Xiu, Dacheng - 2019
Persistent link: https://www.econbiz.de/10012110918
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Anomalies abroad : beyond data mining
Lu, Xiaomeng; Stambaugh, Robert F.; Yuan, Yu - 2017
Persistent link: https://www.econbiz.de/10011847399
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Anomalies abroad : beyond data mining
Lu, Xiaomeng; Stambaugh, Robert F.; Yuan, Yu - 2017
Persistent link: https://www.econbiz.de/10011741422
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StockProF : a stock profiling framework using data mining approaches
Ng, Keng-Hoong; Khor, Kok-Chin - In: Information systems and e-business management : ISeB 15 (2017) 1, pp. 139-158
Persistent link: https://www.econbiz.de/10011711681
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Dynamics of the co-movement between stock and maritime markets
Erdogan, Oral; Tata, Kenan; Karahasan, B. Can; Sengoz, … - In: International review of economics & finance : IREF 25 (2013), pp. 282-290
Persistent link: https://www.econbiz.de/10009693298
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Stock Market Returns and Shipping Freight Market Information : Yet Another Puzzle!
Alizadeh, Amir H. - 2011
Changes in shipping freight rates predict stock market returns. In today's global world, where economies are linked … are robust across world and international stock indexes …
Persistent link: https://www.econbiz.de/10013121786
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The Globalization Risk Premium
Barrot, Jean-Noel - 2018
We investigate how globalization is reflected in asset prices. We use shipping costs to measure firms' exposure to globalization. Firms in low shipping cost industries carry a 7 percent risk premium, suggesting that their cash-flows covary negatively with investors' marginal utility. We find...
Persistent link: https://www.econbiz.de/10012937373
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Modelling stock returns and risk management in the shipping industry
Mohanty, Sunil; Aadland, Roar; Westgaard, Sjur; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25
shipping sectors on the world market portfolio excess return, volatility index, and changes in the oil price, exchange rate … and are found to be significant for the volatility index, world market portfolio return, exchange rate, and changes in …
Persistent link: https://www.econbiz.de/10012520916