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Valuing Local and Dual-Class Ipos in the Alternative Investment Market

Wahid, Abdul; Mumtaz, Muhammad Zubair; Mantell, Edmund H. - 2021

seasoned equities. In this paper, we address the valuation of IPOs in the Alternative Investment Market, (hereafter the AIM ….) The purpose of this study is to determine the observable factors that affect valuation in the AIM. We apply OLS, LASSO … statistical sample consists of 2,185 IPOs issued on the AIM between 1995 and 2020. Our findings suggest that the market valuation …

Persistent link: https://www.econbiz.de/10013251926

The Impact of Derivatives on Cash Markets : Evidence From the Introduction of Bitcoin Futures Contracts

Augustin, Patrick - 2020

We exploit a unique feature of cryptocurrency markets to provide new evidence on how derivatives impact cash markets. In December 2017, the CME Group and CBOE Global Markets both introduced futures contracts on bitcoin (BTC) against USD, but not on any other cryptocurrency exchange rate pairs....

Persistent link: https://www.econbiz.de/10012828635

US corporate bond yield spread : a default risk debate

Shah, Syed Muhammad Noaman Ahmed; Kebewar, Mazen - 2013

According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk factors. Current study empirically attempts to provide...

Persistent link: https://www.econbiz.de/10009743355

US Corporate Bond Yield Spread. A default risk debate

Shah, Syed Noaman; Kebewar, Mazen - Deutsche Zentralbibliothek für … - 2013

Persistent link: https://www.econbiz.de/10010957801

Machine Learning and the Cross-Section of Stock Returns

Chin, Jern Tat; Lin, Hai; Mei, Yi - 2022

This paper exploits different machine learning models to forecast of stock returns. We find that machine learning models substantially improve the performance of various variables in predicting stock returns. Technical indicators generate a significantly better result than the stock...

Persistent link: https://www.econbiz.de/10014235680

Looking Under the Hood of Data-Mining

Hasler, Mathias - 2022

This paper re-evaluates academic research on 92 cross-sectional stock return predictors. Researchers studying return predictability must make decisions about portfolio construction; for example, whether to rebalance annually or monthly. In sample, the returns of predictor portfolios constructed...

Persistent link: https://www.econbiz.de/10014236170

Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance

Ferson, Wayne E. - 2003

Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...

Persistent link: https://www.econbiz.de/10014023859

Recovering Missing Firm Characteristics with Attention-Based Machine Learning

Beckmeyer, Heiner; Wiedemann, Timo - 2022

Firm characteristics are often missing. We set up an attention-based machine learning model borrowing ideas from state-of-the-art research in natural language processing to understand how characteristics relate to the cross-section of other – observed firm – characteristics and their...

Persistent link: https://www.econbiz.de/10013308992

Technical Appendix for 'Exploring Breaks in the Distribution of Stock Returns : Empirical Evidence from Apple Inc.'

Lleo, Sebastien; Ziemba, William T.; Li, Jessica - 2020

Persistent link: https://www.econbiz.de/10014361898

Changepoint Detection in the Cross-Section of Stock Returns

Lleo, Sebastien; Ziemba, William T.; Li, Jessica - 2023

We investigate changepoints in the cross-section of stock returns using an ensemble of dedicated unsupervised learning methods. Our large-scale study reveals a sustained incidence of changepoints in the mean, variance, and distribution. This finding is robust to the choice of the changepoint...

Persistent link: https://www.econbiz.de/10014351188