Purpose – The paper aims to test the rational-expectations hypothesis using data from the Chinese stock market. Design/methodology/approach – The rational-expectations hypothesis plays a critical role in economic and financial studies. However, it is unclear whether this hypothesis is...

Purpose – The purpose of this paper is to empirically test dominant theories and assumptions in behavioral finance, using data from the Standard & Poor's 500 index. Design/methodology/approach – The empirical analysis has three parts: to test the assumption of risk aversion; to examine the...

Purpose – The purpose of this paper is to investigate the forecasting power of the conditional relationship between beta and international stock returns. Design/methodology/approach – Using the market model, the individual betas for each country in the sample are estimated by ordinary least...

In this paper we apply a new approach of string theory to the real financial market. The models are constructed with an idea of prediction models based on the string invariants (PMBSI). The performance of PMBSI is compared to support vector machines (SVM) and artificial neural networks (ANN) on...

Purpose – This study aims to look into how volatility significantly impacts the tracking error for daily-rebalanced leveraged bull and bear ETFs. Design/methodology/approach – Using Morningstar return data and Chicago Board Options Exchange (CBOE) volatility index (VIX) data, the paper...

This paper evaluates the impact of accounting and market-driven information on the prediction of bankruptcy for Greek firms using the discrete hazard approach. The findings show that a hazard model that incorporates three accounting ratio components of Z-score and three market-driven variables...

Purpose – The purpose of this paper is to propose two hybrid forecasting models which integrate available ones. A hybrid contaminated normal distribution (CND) model accurately reflects the non-normal features of monthly S&P 500 index returns, and a hybrid GARCH model captures a serial...

This study aims to forecast net asset values of Turkish mutual funds using Artificial Neural Networks (ANN) method. In order to forecast net asset values of 38 mutual funds (19 A type and 19 B type), 6 macro economic variables are used in the period of January 2001-December 2008. Net asset...

Purpose – The purpose of this paper is to propose two hybrid forecasting models which integrate available ones. A hybrid contaminated normal distribution (CND) model accurately reflects the non-normal features of monthly S&P 500 index returns, and a hybrid GARCH model captures a serial...