Persistence and Market Timing Ability of Cryptocurrency Funds
Financial Management, EarlyView.ABSTRACT Growth in cryptocurrency funds has followed the wider expansion of the cryptocurrency sector. In this paper, we study the performance persistence and market timing ability of cryptocurrency fund managers. We show that cryptocurrency funds produce remarkable levels of abnormal returns.
Thomas Conlon +2 more
wiley +1 more source
Call Me Maybe: Corporate Bond Prices Upon Missed Call Opportunities
Financial Management, EarlyView.ABSTRACT In a sample of discretely callable corporate bonds, we find excess returns of approximately 40 bps realized on the release of the issuer's decision to call or not to call. The bonds that could have been profitably called (in‐the‐money bonds) but are not called contribute the most to the bond price jump. We attribute the jump to the revaluation
Alexey Ivashchenko, Michael Rockinger
wiley +1 more source
A Theory of the Boundaries of Banks With Implications for Financial Integration and Regulation
Financial Management, EarlyView.ABSTRACT We offer a theory of the “boundary of the firm” that is tailored to banks, recognizing the relevance of deposit financing and interbank lending as a substitute for integration. It is based on a single inefficiency that has been at the core of banking theory: risk‐shifting incentives in the interest of bank shareholders.
Falko Fecht +2 more
wiley +1 more source
Stock Index Spot-Futures Arbitrage Prediction Using Machine Learning Models. [PDF]
Entropy (Basel), 2022 Sheng Y, Ma D.
europepmc +1 more source
Financial Statement Information and Equity Value: The Role of Real Options Characteristics
Financial Management, EarlyView.ABSTRACT This paper examines whether firm‐specific real options characteristics are equity value‐relevant beyond valuation estimates anchored in financial statements. Using extensive historical data for the United Kingdom, we assess and compare the forecast accuracy and explanatory power for stock prices of equity valuation models based on residual ...
Mingyu (Chandler) Chen +2 more
wiley +1 more source
Improving long short-term memory (LSTM) networks for arbitrage spread forecasting: integrating cuckoo and zebra algorithms in chaotic mapping space for enhanced accuracy. [PDF]
PeerJ Comput SciZhu M +9 more
europepmc +1 more source
Speed Bump and Stock Market Quality: Evidence From NYSE American
Financial Management, EarlyView.ABSTRACT Should trading speed of high‐frequency traders be regulated? Using the data from the New York Stock Exchange American, this paper examines the impact of a speed bump on market liquidity and price discovery. Our results indicate that the use of a speed bump can lower the costs of adverse selection through reducing informed trading.
Bo Liu, Ke Xu
wiley +1 more source
Forecasting of virtual power plant generating and energy arbitrage economics in the electricity market using machine learning approach. [PDF]
Sci RepSarathkumar TV +5 more
europepmc +1 more source