Capital markets appreciate stability. It means that companies reporting smooth earnings patterns tend to be priced relatively high. However, the empirical issue is whether such valuation premiums for earnings smoothness are justified. We examine the relationships between past five-year earnings...

Capital markets appreciate stability. It means that companies reporting smooth earnings patterns tend to be priced relatively high. However, the empirical issue is whether such valuation premiums for earnings smoothness are justified. We examine the relationships between past five-year earnings...

A series of popular stock investment strategies are based on buying stocks with low valuation multiples. These strategies assume that low multiples signal undervaluation. However, the low multiples can be justified by fundamentals. In such cases even stocks with very low multiples can be...

Machine learning is an increasingly important and controversial topic in quantitative finance. A lively debate persists as to whether machine learning techniques can be practical investment tools. Although machine learning algorithms can uncover subtle, contextual and non-linear relationships,...

We perform a comparative analysis of machine learning methods for the canonical problem of empirical asset pricing: measuring asset risk premia. We demonstrate large economic gains to investors using machine learning forecasts, in some cases doubling the performance of leading regression-based...

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative...

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative...

The main objective of this study is to determine the factors that influence the valuationmultiples used in the market approach in valuing companies. The analysis takes into account bothfactors related to the company and the country or stock market on which the company stocks aretraded.The...

Initial public offerings (IPO) of financial instruments on international financial markets represent one of the most important financing channels not only for developed countries, but for emerging ones too. The most sensitive element of international IPOs that could determine the success or...