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Forecasting stock return volatility in data-rich environment : a new powerful predictor

Dai, Zhifeng; Zhang, Xiaotong; Li, Tingyu - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014246821

TrimTabs Investing : Using Liquidity Theory to Beat the Stock Market

Biderman, Charles - 2005 - 1st ed.

fundamental value. Finally, it outlines the building blocks of liquidity theory and explains how you can use them to predict the …. Biderman's long overdue book outlines the theory and evidence behind 'Trading Float,' the actual-and exploitable-power behind … -- PROMOTING GLOBAL PROSPERITY -- HONORING MY PARENTS -- Part I: Introducing Liquidity Theory -- Chapter 1: A Tale of Fortune Lost …

Persistent link: https://www.econbiz.de/10012688381

Style-investing auf europäischen Aktienmärkten : eine empirische Analyse bewertungsrelevanter Fundamentalfaktoren

Paulus, Helmut - 1997

Persistent link: https://www.econbiz.de/10013438293

Large dynamic covariance matrices : enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - In: Journal of banking & finance 138 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013461761

Detecting the lead-lag effect in stock markets : definition, patterns, and investment strategies

Li, Yongli; Wang, Tianchen; Sun, Baiqing; Liu, Chao - In: Financial innovation : FIN 8 (2022), pp. 1-36

Human activities widely exhibit a power-law distribution. Considering stock trading as a typical human activity in the financial domain, the first aim of this paper is to validate whether the well-known power-law distribution can be observed in this activity. Interestingly, this paper determines...

Persistent link: https://www.econbiz.de/10013272642

Forecasting stock return volatility : the role of shrinkage approaches in a data-rich environment

Dai, Zhifeng; Li, Tingyu; Yang, Mi - In: Journal of forecasting 41 (2022) 5, pp. 980-996

Persistent link: https://www.econbiz.de/10013287893

Zero-investment portfolio strategy and excess returns in ESG100 stocks

Parichat Sinlapates; Thawaree Chinnasaeng - In: Comparative analysis of trade and finance in emerging …, (pp. 51-66). 2023

Persistent link: https://www.econbiz.de/10014316845

Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model

Khan, Yousaf Ali; Ahmad, Muneeb; Ahmad, Muhammad Munir - In: International journal of financial engineering 10 (2023) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014304236

Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...

Persistent link: https://www.econbiz.de/10013334839

Refining the general equilibrium relation that subsists between stock returns, and each of investors' risk preferences and information sets

Obrimah, Oghenovo Adewale - In: Finance research letters 46 (2022) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10013341864