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Do Foreign Short-Sellers Predict Stock Returns? Evidence from Daily Short-Selling in Korean Stock Market

Lee, Kuan-Hui - 2017

We investigate the daily short-selling by foreign investors and their impact on stock price, liquidity, and volatility in the Korean stock market. From January 1, 2006 to May 31, 2010, we find that the majority of short-selling is performed by foreign, rather than by domestic, investors and that...

Persistent link: https://www.econbiz.de/10012973322

A Method of Forecasting Wholesale Electricity Market Prices

Maisano, Joe - 2016

In this paper we employ a fundamental principle of classical mechanics known as the Least Action Principle to model the complex relationship between expected load and expected price in electricity spot markets. We consider here markets that feature a centralised electricity dispatch system that...

Persistent link: https://www.econbiz.de/10013005517

Time-Disaggregated Dividend-Price Ratio and Dividend Growth Predictability in Large Equity Markets

Asimakopoulos, Panagiotis - 2016

Even in large equity markets, the dividend-price ratio is significantly related with the growth of future dividends. In order to uncover this relationship, we use monthly dividends and a mixed data sampling technique which allows us to cope with within-year seasonality. We reduce the effect of...

Persistent link: https://www.econbiz.de/10013006710

Variance Risk Premiums and the Forward Premium Puzzle

Londono, Juan M. - 2016

risk premium are systematically rising along the line of inflation risk. We rationalize these findings in a consumption …-based asset pricing model, with local consumption uncertainty and global inflation uncertainty characterized, respectively, by the …

Persistent link: https://www.econbiz.de/10013008002

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the … markets in Asia, Europe and North America; 2) the research review on the classic forecast techniques of the foreign currencies … quantum forecast techniques of the foreign currencies exchange rates dynamics in the foreign currencies exchange markets with …

Persistent link: https://www.econbiz.de/10013013057

Information Spillovers and Predictable Currency Returns : An Analysis via Machine Learning

Jia, Yuecheng - 2020

This paper employs the post — Least Absolute Shrinkage and Selection Operator (post — LASSO) to make rolling 1-month--ahead currency excess return forecasts using all other currencies' lagged forward discounts as candidate predictors. The trading strategy of buying (selling) quintile...

Persistent link: https://www.econbiz.de/10012850361

Forecasting Market Index Volatility Using Ross-Recovered Distributions

Gagnon, Marie-Hélène - 2020

risk preference factor. We investigate whether these factors perform better to forecast realized volatility if constructed …

Persistent link: https://www.econbiz.de/10012851207

Small-Minus-Big Predicts Betting-Against-Beta : Implications for International Equity Allocation and Market Timing

Zaremba, Adam - 2020

We demonstrate a strong relationship between short-term small-firm premium and future low-beta anomaly performance. Rises (declines) in small firm prices temporarily improve (deteriorate) funding conditions, benefiting (impairing) the short-run returns on the low-beta strategy. To investigate...

Persistent link: https://www.econbiz.de/10012851660

Variance Risk Premium in Individual Stocks : Aggregating Factor Variance Risk

Pyun, Sungjune - 2020

The risk premium of stocks due to priced variance risk is summarized to two variables -- the stock-specific price of variance risk (the difference between realized and option-implied variance) and the quantity (i.e., how stock prices respond to their variance shocks) of variance risk....

Persistent link: https://www.econbiz.de/10012855216

Market Timing and Predictability in FX Markets

Maurer, Thomas Andreas - 2020

We construct mean-variance optimized currency portfolios and analyze the time- series variation of the conditional Sharpe ratio. Returns, volatility and skewness are predictable. Market timing – i.e., trading more (less) aggressively when the conditional risk-return trade-off is more (less)...

Persistent link: https://www.econbiz.de/10012855418