Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical technique to prevent model overfitting such as out-sample back-testing turns out to be unreliable in the situation when selection is based on...

Purpose – This study aims to examine the contribution of board role performance and isomorphic forces on internet financial reporting.Design/methodology/approach – This study is cross-sectional and correlational. Data were collected through a questionnaire survey of 40 financial services...

We employ a Mixed-Frequency VAR to study the effect of four valuation ratios (the price-dividend ratio, the price-earnings ratio, the Cyclically Adjusted Price Earnings Ratio and the Total Return Cyclically Adjusted Price Earnings Ratio) on the US stock market. We quantify the interaction...

This paper studies the impact of the forward looking intangibles-specific non-financial and textual disclosures on the annual reports (including MD&A, etc.) of 25 biggest Pharmaceutical firms listed in the United States. Using a mixed research method the information from the annual reports are...

The healthcare and pharmaceutical industry in the United States has its primary resources tied up in the form of intangibles. Therefore, the main risk factors of such firms are directly associated with the management of such idiosyncratic resources. Reporting on intangibles has always been...

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation...

This paper examines whether momentum drives the disposition effect and vice versa in the US stock market. The results from the analysis of the Fama-Macbethregressions show that the disposition effect drives momentum but not the other way around. Furthermore, we find that this relationship varies...

The Edgeworth-Sargan density has been shown capable of capturing salient empirical regularities of financial data (in particular this density is able to capture thick tails and asymmetries of several kinds). When compared to other densities commonly used in applied finance, has the big advantage...

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation...