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Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting
Choi, Youngsoo - 2012
The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...
Persistent link: https://www.econbiz.de/10013097543
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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
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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …
Persistent link: https://www.econbiz.de/10013013057
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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
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Forecasting Market Index Volatility Using Ross-Recovered Distributions
Gagnon, Marie-Hélène - 2020
Ross (2015) shows that options data can reveal the market's true expectations. Adapting this approach to index options (S&P, FTSE, CAC, SMI and DAX), we separate option-implied volatility into Ross-recovered true expected volatility and a risk preference factor. We investigate whether these...
Persistent link: https://www.econbiz.de/10012851207
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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
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Forecast in Capital Markets
Ledenyov, Dimitri - 2016
Persistent link: https://www.econbiz.de/10012987861
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Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better than High P/E Models?
Lleo, Sebastien - 2015
In this paper, we extend the literature on crash prediction models in three main ways. First, we explicitly relate crash prediction measures and asset pricing models. Second, we present a simple, effective statistical significance test for crash prediction models. Finally, we propose a...
Persistent link: https://www.econbiz.de/10013035325
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Does foreign information predict the returns of multinational firms worldwide?
Finke, Christian; Weigert, Florian - 2015 - This version: September 2015
We investigate whether value-relevant foreign information only gradually dilutes into stock prices of multinational firms worldwide. Using an international sample of firms from 22 developed countries, we find that a portfolio strategy based on firms' foreign sales information yields future...
Persistent link: https://www.econbiz.de/10011344380
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The Volatility Forecasting of Tehran & International Stock Exchanges
Khaleghi Moghaddam, Hamid - 2010
Stock prices are one of the most volatile economic variables and forecasting stock prices and their returns has proved very challenging, if not impossible. In this paper, we apply a battery of linear and nonlinear models to forecast the returns in nine international stock exchanges for the...
Persistent link: https://www.econbiz.de/10013138023