We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock...

The analysis of news in the financial context has gained a prominent interest in the last years. This is because of the possible predictive power of such content especially in terms of associated sentiment/mood. In this paper, we focus on a specific aspect of financial news analysis: how the...

This article describes the primary uses of the VIX index in the financial literature, offering for the first time a joint view of its successes and failures in key financial areas. VIX is a model-free volatility index that measures the investor "fear" gauge due to its significant and negative...

Most catastrophe bonds issued in the primary market are sold by the same issuers every year, and within each year. Significant similarities in the bond characteristics are therefore anticipated, which ultimately leads to similarities in pricing for these bond issuers over time. In this paper,...

This paper re-evaluates the key past results of unit root tests, emphasizing that the use of a conventional level of significance is not in general optimal due to the test having low power. The decision-based significance levels for popular unit root tests, chosen using the line of enlightened...

There is a general acceptance of the fact that a significant direct relationship between financial markets and macroeconomic variables exists, especially by considering the assertion that developed financial markets correspond to high GDP levels. This paper provides an investigation of the...