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Country News Sentiment Factors Predict Forex Prices
Hafez, Peter - 2013
In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...
Persistent link: https://www.econbiz.de/10013081446
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The Fu (2009) Positive Relation between Idiosyncratic Volatility and Expected Returns Is Due to Look-Ahead Bias
Park, Seongkyu; Wei, K. C. John; Zhang, Linti - 2020
Expected idiosyncratic volatility and its positive relation to expected returns of Fu (2009) can be closely replicated …, but only when we include information up to time t to estimate the idiosyncratic volatility at time t. Since this involves … look-ahead bias, we re-estimate expected idiosyncratic volatility using information only up to time t - 1. We find no …
Persistent link: https://www.econbiz.de/10012846905
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Consumption Fluctuations and Expected Returns
Atanasov, Victoria - 2019
This paper introduces a novel consumption-based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) relative to its trend and marginal utility from current consumption is...
Persistent link: https://www.econbiz.de/10012900308
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raaij, Gabriela de; Raunig, Burkhard - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10001657476
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics …
Persistent link: https://www.econbiz.de/10009767120
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Are Regime Shift Risks Priced in Asset Markets?
Chourdakis, Kyriakos - 2011
underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be …
Persistent link: https://www.econbiz.de/10013130931
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Evaluating Density Forecasts with an Application to Stock Market Returns
Raunig, Burkhard - 2016
Persistent link: https://www.econbiz.de/10012991280
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Return and Dividend Expectations in the Cross-Section of Prices
Douglas, Reed - 2022
I build a price-ratio model based on the Campbell and Shiller (1988) decomposition to test which components of investor expectations best explains cross-sectional price differences. I evaluate the in- and out-of-sample performance of my model, which uses a higher-order expansion with an added...
Persistent link: https://www.econbiz.de/10014236440
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10011431370
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Crude oil, stock market, and foreign exchange return volatility and spillover : a GARCH DCC analysis of Indian and Japanese financial market
Mishra, Amritkant - In: International journal of business innovation and research 20 (2019) 1, pp. 25-46
Persistent link: https://www.econbiz.de/10012144491