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Credit Default Swaps, the Leverage Effect, and Cross-Sectional Predictability of Equity and Firm Asset Volatility

Forte, Santiago - 2020

We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility. The informational content of historical and option...

Persistent link: https://www.econbiz.de/10012848868

Stock Performance Subsequent to Combinations in Quarterly Revenue Surprise, Earnings Surprise, Guidance, Valuation, and Report Time

Alvarado, Jose - 2020

Finance literature highlights various reasons for stock performance subsequent to earnings announcements. However, other moving parts in these scenarios must also be simultaneously specified. While both revenue and earnings surprises are important for determining stock performance,...

Persistent link: https://www.econbiz.de/10012849035

Stock Return Predictability : comparing Macro- and Micro-Approaches

Stalla-Bourdillon, Arthur - 2022

Economic theory identifies two potential sources of return predictability: time variation in expected returns (beta-predictability) or market inefficiencies (alpha-predictability). For the latter, Samuelson argued that macro-returns exhibit more inefficiencies than micro-returns, as individual...

Persistent link: https://www.econbiz.de/10014236259

Investor Sentiment and Market Skewness Pricing

Yaakoubi, Soumaya - 2022

This paper provides new evidence on the pricing of market skewness risk by incorporating investor sentiment in the … low sentiment periods separately. We find that market skewness risk carries a negative premium that cannot be explained … away by known risk factors when sentiment is low. In contrast, the results are not conducive to a risk explanation when …

Persistent link: https://www.econbiz.de/10013298295

Predicting Momentum

Ma, Siyuan - 2022

This paper examines to what extent the momentum spread ratio (MSR) can predict momentum profits. The momentum spread ratio as a potential proxy of investor underreaction can significantly predict the momentum, industry momentum, and residual momentum, especially after 1994, suggesting that...

Persistent link: https://www.econbiz.de/10013404733

Investor Sentiment and Paradigm Shifts in Equity Return Forecasting

Chu, Liya; He, Xuezhong; Li, Kai; Tu, Jun - 2022

This study investigates the impact of investor sentiment on excess equity return forecasting. A high (low) investor sentiment may weaken the connection between fundamental economic (behavioral-based non-fundamental) predictors and market returns. We find that although fundamental variables can...

Persistent link: https://www.econbiz.de/10013405087

A bibliometric analysis of machine learning econometrics in asset pricing

Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17

Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...

Persistent link: https://www.econbiz.de/10013475217

Abnormal Volatility in Seasoned Equity Offerings During Economic Disruptions

Prasad, Mason; Bakry, Walid; Varua, Maria Estela - 2021

Australia has become one of most prolific issuers of seasoned equity offerings (SEOs) globally. Due to its convenience, firms issue SEOs as their primary capital raising mechanism particularly during economic disruptions i.e., the early 2000s dot-com bubble, 2008 Global Financial Crisis and...

Persistent link: https://www.econbiz.de/10013230729

Why does news coverage predict returns? Evidence from the underlying editor preferences for risky stocks

Schwenkler, Gustavo; Zheng, Hannan - 2022

more often a stock appears in the news because of its risk characteristics. Editor preferences are highly time …

Persistent link: https://www.econbiz.de/10013311577

Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models

Lopez-Lira, Alejandro; Tang, Yuehua - 2023

We examine the potential of ChatGPT, and other large language models, in predicting stock market returns using sentiment analysis of news headlines. We use ChatGPT to indicate whether a given headline is good, bad, or irrelevant news for firms' stock prices. We then compute a numerical score and...

Persistent link: https://www.econbiz.de/10014351271