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Using sentiment to predict GDP growth and stock returns

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008

, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to …

Persistent link: https://www.econbiz.de/10009647230

Adaptive Forecasting of Exchange Rates with Panel Data

Morales-Arias, Leonardo; Dross, Alexander - Institut für Weltwirtschaft (IfW) - 2010

This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with … rolling window and recursive forecasting schemes. The capabilities of single predictors and of adaptive techniques for … measures. The forward premium and a predictor based on a Taylor rule yield the most promising forecasting results out of the …

Persistent link: https://www.econbiz.de/10008694071

Further Tests of the ZCAPM Asset Pricing Model

Kolari, James W.; Huang, Jianhua; Liu, Wei; Liao, Huiling - 2022

A recent book by Kolari, Liu, and Huang (KLH) (2021) developed a new theoretical capital asset pricing model dubbed the ZCAPM, which outperformed well-known multifactor models in cross-sectional tests using U.S. stocks. This paper extends their analyses by employing a longer sample period from...

Persistent link: https://www.econbiz.de/10014239479

Optimal Impact Portfolios with General Dependence and Marginals

Lo, Andrew W.; Wu, Lan; Zhang, Ruixun; Zhao, Chaoyi - 2022

Impact investing typically involves ranking and selecting assets based on a non-financial impact factor, such as the environmental, social, and governance (ESG) score, the amount of carbon emissions, and the prospect of developing a disease-curing drug. We develop a framework for constructing...

Persistent link: https://www.econbiz.de/10013403363

The Alpha Factor

Kolari, James W.; Huang, Jianhua; Liao, Huiling - 2022

This paper incorporates Jensen’s (1968) alpha (α) from different asset pricing models as an independent variable in Fama and MacBeth (1973) cross-sectional regression tests. Estimated alpha coefficients in time-series regression models capture total missing factor returns and therefore are...

Persistent link: https://www.econbiz.de/10013491618

Measuring and Optimizing the Risk and Reward of Green Portfolios

Lo, Andrew W.; Zhang, Ruixun; Zhao, Chaoyi - 2022

We study the performance of green portfolios in both the US and Chinese markets, constructed using a broad range of climate-related environmental metrics, including carbon emissions, water consumption, waste disposal, land and water pollutants, air pollutants, and natural resource use. We...

Persistent link: https://www.econbiz.de/10013492566

Lottery Stocks in the UK : Evidence, Characteristics and Cause

Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos S - 2021

Research across international markets identifies lottery-like stocks that contradict the standard positive risk-return trade-off paradigm. This paper, consistent with those results, reports under-performance for lottery-like stocks in the UK market. Moreover, while the under-performance appears...

Persistent link: https://www.econbiz.de/10013230475

Jumps in the Volatility of Financial Markets.

PERRON, Benoît - Département de Sciences Économiques, Université de … - 1999

Recent work suggests that the conditional variance of financial returns may exhibit sudden jumps. This paper extends a non-parametric procedure to detect discontinuities in otherwise continuous functions of a random variable developed by Delgado and Hidalgo (1996) to higher conditional moments,...

Persistent link: https://www.econbiz.de/10005729794

Hierarchical Causality in Financial Economics

Wilcox, Diane - 2015

Hierarchical analysis is considered and a multilevel model is presented in order to explore causality, chance and complexity in financial economics. A coupled system of models is used to describe multilevel interactions, consistent with market data: the lowest level is occupied by agents...

Persistent link: https://www.econbiz.de/10013031138

Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models

Kaizoji, Taisei; Lux, Thomas - Society for Computational Economics - SCE - 2004

-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …

Persistent link: https://www.econbiz.de/10005706539