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Modelling the paradox in stock markets by variance ratio volatility estimator that utilises extreme values of asset prices

Shaik, Muneer; Maheswaran, S. - In: Journal of emerging market finance 15 (2016) 3, pp. 333-361

Persistent link: https://www.econbiz.de/10011691166

Global stock selection with hidden Markov model

Nguyen, Nguyet; Nguyen, Dung - In: Risks : open access journal 9 (2021) 1/9, pp. 1-18

Hidden Markov model (HMM) is a powerful machine-learning method for data regime detection, especially time series data. In this paper, we establish a multi-step procedure for using HMM to select stocks from the global stock market. First, the five important factors of a stock are identified and...

Persistent link: https://www.econbiz.de/10012422925

Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US

Haase, Felix; Neuenkirch, Matthias - In: International journal of forecasting 39 (2023) 2, pp. 587-605

Persistent link: https://www.econbiz.de/10014465071

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - In: Journal of empirical finance 70 (2023), pp. 322-341

Persistent link: https://www.econbiz.de/10014423714

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2023

Persistent link: https://www.econbiz.de/10014448099

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022 - This version: December 6, 2022

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

Persistent link: https://www.econbiz.de/10013465942

Returns for dividend-paying and non dividend paying firms

Fu, Yufen; Blazenko, George W. - In: The international journal of business and finance … 9 (2015) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10010510024

Exploiting the dividend month premium : evidence from Germany

Kreidl, Felix; Scholz, Hendrik - In: The journal of asset management : a major new, … 22 (2021) 4, pp. 253-266

Persistent link: https://www.econbiz.de/10012581619

Endogenous growth, countercyclical dividends, and asset prices

Filep-Mosberger, Palma; Kaszab, Lorant; Ren, Zhou - 2023

percent dividends become procyclical, the price-dividend ratio countercyclical, and the mean of the equity risk premia reduces … horizontal and vertical innovation match financial data well due to countercyclical dividends which are either procyclical or … acyclical in US data. Countercyclical dividends redistribute income from consumption towards investment in innovation improving …

Persistent link: https://www.econbiz.de/10014251243

Rational momentum effects

Johnson, Timothy C. - In: The journal of finance : the journal of the American … 57 (2002) 2, pp. 585-608

Persistent link: https://www.econbiz.de/10001684720