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On the Economic Consequences of Index-Linked Investing

Wurgler, Jeffrey - 2010

Trillions of dollars are invested through index funds, exchange-traded funds, and other index derivatives. The benefits of index-linked investing are well-known, but the possible broader economic consequences are unstudied. I review research which suggests that index-linked investing is...

Persistent link: https://www.econbiz.de/10013138775

From Man vs. Machine to Man + Machine : The Art and AI of Stock Analyses

Cao, Sean Shun; Jiang, Wei; Wang, Junbo; Yang, Baozhong - 2021

An AI analyst we build to digest corporate financial information, qualitative disclosure, and macroeconomic indicators are able to beat the majority of human analysts in stock price forecasts and generate excess returns compared to following human analysts. In the contest of “man vs...

Persistent link: https://www.econbiz.de/10013229458

Political news and stock market reactions : evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98

"Leverage Effect" in the returns of BIST-100 index. Therefore, one can say that political uncertainty is still a problem for the …

Persistent link: https://www.econbiz.de/10012131511

Economic Policy Uncertainty in China and Stock Market Expected Returns

Chen, Jian - 2017

We investigate the impact of China's economic policy uncertainty (EPU) on the time series variation of Chinese stock … future stock market return at various horizons. This negative relation between economic policy uncertainty and expected … future return remains significant as we control for a number of economic and market uncertainty variables or conduct out …

Persistent link: https://www.econbiz.de/10012968808

Stock-Bond Correlation and Duration Risk Allocation

Xinyi, Liu - 2017

Using weekly stock-bond correlations estimated with high-frequency data, the authors find that a lower (more negative) stock-bond correlation forecasts falling 10-year interest rates over the coming weeks, and it also forecasts a falling 1-year interest rates over the next year. The reverse is...

Persistent link: https://www.econbiz.de/10012970361

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative relationship between equity ivol and expected returns. We show that the effect is caused by the nonlinear payoff of equity and the law of one price, and is present in all but...

Persistent link: https://www.econbiz.de/10012910108

Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics : Evidence from the Chinese stock market

Shi, Huai-Long; Zhou, Wei-Xing - 2021

This paper focuses on the horse race of weekly idiosyncratic momentum (IMOM) with respect to various idiosyncratic risk metrics. Using the A-share individual stocks in the Chinese market from January 1997 to December 2017, we first evaluate the performance of the weekly momentum and...

Persistent link: https://www.econbiz.de/10013225739

Global Economic Uncertainty and the U.S. Equity Returns

Jahan-Parvar, Mohammad R.; Kitsul, Yuriy; Rahman, Jamil A. - 2021

We document the predictive ability and economic significance of global economic policy uncertainty for U.S. equity … returns. After orthogonalizing global economic policy uncertainty (global EPU) with respect to the U.S. EPU, we find that it …

Persistent link: https://www.econbiz.de/10013242535

Risk-Return Trade-Off in Dhaka Stock Exchange, Bangladesh : An Emerging Market Evidence

Mollik, A. T. - 2011

This paper attempts to measure the risk and return relationship in Dhaka Stock Exchange (DSE) of Bangladesh. Applying Single Index Model, the study reports statistically significant positive relationship between risk and return both at the individual security level and at the portfolio level....

Persistent link: https://www.econbiz.de/10013121127

A Model-based Commodity Risk Measure on Commodity and Stock Market Returns

Hou, Ai Jun; Platanakis, Emmanouil; Ye, Xiaoxia; Zhou, Guofu - 2022

We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term structure model of commodity futures. Our theory-based CDP, capturing forward-looking information in the futures markets, outperforms well-known characteristics in explaining the...

Persistent link: https://www.econbiz.de/10014239736