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The IPO Share Adjustment Puzzle
Dunbar, Craig G. - 2023
Approximately 60% of IPO issuers adjust primary share over the registration period and 15% adjust secondary shares. I find that first day returns are significantly positive related to primary share adjustments and insignificantly related to secondary share adjustments. These relations are...
Persistent link: https://www.econbiz.de/10014254427
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Testing for stock market contagion : a quantile regression approach
Park, Sungyong; Wang, Wendun; Huang, Naijing - 2015 - This version: March 25, 2015
Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile … contagion test allows us to investigate the stock market contagion at various quantiles, not only at the mean. We show that the … quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of …
Persistent link: https://www.econbiz.de/10010504111
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Quantile Spectral Beta : A Tale of Tail Risks, Investment Horizons, and Asset Prices
Baruník, Jozef - 2019
We examine how extreme market risks are priced in the cross-section of asset returns at various horizons. Based on the decomposition of covariance between indicator functions capturing fluctuations of different parts of return distributions over various frequencies, we define a \textit{quantile...
Persistent link: https://www.econbiz.de/10012899016
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Firm Characteristics and Expected Stock Returns
Han, Yufeng - 2020
We analyze the joint out-of-sample predictive ability of a comprehensive set of 299 firm characteristics for cross-sectional stock returns. We develop a cross-sectional out-of-sample R2 statistic that provides an informative measure of the accuracy of cross-sectional return forecasts in terms of...
Persistent link: https://www.econbiz.de/10012852228
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Testing for Stock Market Contagion : A Quantile Regression Approach
Park, Sungyong - 2015
Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile … contagion test allows us to investigate the stock market contagion at various quantiles, not only at the mean. We show that the … quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of …
Persistent link: https://www.econbiz.de/10013025474
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Asset Pricing and Deep Learning
Zhang, Chen - 2022
Traditional machine learning methods have been widely studied in financial innovation. My study focuses on the application of deep learning methods on asset pricing.I investigate various deep learning methods for asset pricing, especially for risk premia measurement. All models take the same set...
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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Energy contagion in the COVID-19 crisis
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2020
time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …
Persistent link: https://www.econbiz.de/10012226706
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Asset market linkages in crisis periods
Hartmann, Philipp; Straetmans, Stefan; Vries, Casper G. de - 2001
is particularly important. For example, our data show that stock-bond contagion is approximately as frequent as flight to …
Persistent link: https://www.econbiz.de/10011317457
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...
Persistent link: https://www.econbiz.de/10010362978