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Analysis of the relationship between ethanol spot and futures prices in Brazil
Quintino, Derick D.; David, Sergio A.; Vian, Carlos E. de F. - In: International Journal of Financial Studies : open … 5 (2017) 2, pp. 1-10
In this work, an investigation and analysis are carried out in order to observe the relationship between ethanol spot … and futures prices in Brazil. We adopted the Engle and Granger co-integration approach. Also, we consider the information … over the futures market can be attributed to the market’s relative concentration in wholesale ethanol distribution due to …
Persistent link: https://www.econbiz.de/10011649365
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Reforming Private Securities Litigation in China : The Stock Market Has Already Cast its Vote
Xu, Wenming - 2016
This paper employs a natural experiment research design to analyze the differences in the effects of the 2002 notice concerning private securities litigation issued by the Supreme People's Court on stock price performance in A/B-share markets. Using a sample of 162 twin A/B-shares issued by 81...
Persistent link: https://www.econbiz.de/10013005511
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Idiosyncratic Risk and Stock Returns : A Quantile Regression Approach
Aziz, Tariq - 2016
The relation between idiosyncratic risk and stock returns is currently a topic of debate in the academic literature. So far the evidence regarding the relation is mixed. This study aims to investigate the cross-sectional relation between idiosyncratic risk and stock returns in the Indian stock...
Persistent link: https://www.econbiz.de/10012996902
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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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Stylized patterns in implied volatility indices and stock market returns : a cross country analysis across developed and emerging markets
Pathak, Jalaj; Deb, Soumya Guha - In: Cogent economics & finance 8 (2020) 1, pp. 1-24
Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index (VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also examine the dynamic variation, if any in the nature of the...
Persistent link: https://www.econbiz.de/10012219567
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Dynamics of biofuel stock prices : a Bayesian approach
Du, Xiaodong; Hayes, Dermot James; Yu, Cindy - 2009
Persistent link: https://www.econbiz.de/10003896222
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Dynamics of bioful stock prices : a Bayesian approach
Du, Xiaodong; Hayes, Dermot James; Yu, Cindy L. - In: American journal of agricultural economics 93 (2011) 2, pp. 418-425
Persistent link: https://www.econbiz.de/10009374050
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Ethanol Price Discovery in U.S. Terminal Markets
Gerveni, Maria; Serra, Teresa; Irwin, Scott H.; Hubbs, Todd - 2022
This article shows, for the first time, where U.S. ethanol prices are discovered across the major regional markets in … of the largest terminals in the U.S. and is widely regarded as the center of ethanol price discovery in the country …. Ethanol prices in the Chicago terminal electronic trading platform are also suspected of being manipulated over the 2017 …
Persistent link: https://www.econbiz.de/10014082378
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Price volatility in food markets : can stock building mitigate price fluctuations?
Serra, Teresa; Gil, José María - In: European review of agricultural economics : ERAE 40 (2013) 3, pp. 507-528
Persistent link: https://www.econbiz.de/10009760571