A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, EarlyView.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source
Impact of Dividend Policy on Share Price Volatility: Evidence from Sri Lanka
Buletin Ekonomi Moneter dan PerbankanThis paper investigates how dividend policy affects share price volatility among companies on the Colombo Stock Exchange from 2012 to 2020, including the COVID-19 period.
Maleesha Panangala +2 more
doaj +1 more source
Analisis Fundamental Saham Syariah Dan Saham Kovensional Terhadap Kebijakan Pembayaran Dividen (Studi Pada Perusahaan Manufaktur Yang Terdaftar Di JII Dan Lq45 Periode 2010-2013) [PDF]
, 2015 This study is to determine the simultaneous and partial effect of Cash Ratio, Current Ratio (CR), Total Assets Turnover (TATO), Return On Equity (ROE), Earning Per Share (EPS), and Debt Equity Ratio (DER) to the Dividend Payout Ratio (DPR). This research
Hanim, S. (Samira)
core
Improving Implied Volatility Forecasts for American Options Using Neural Networks
Journal of Futures Markets, EarlyView.ABSTRACT This paper explores the application of neural networks to improve pricing of American options. Focusing on both American and European options on the S&P 100 index from January 2016 to August 2023, we integrate neural networks to model the difference between market‐implied and model‐implied volatilities derived from the Black‐Scholes and Heston
Haitong Jiang, Emese Lazar, Miriam Marra
wiley +1 more source
THE IMPACT OF EARNINGS PER SHARE, DIVIDEND PAYOUT RATIO, DEBT TO EQUITY RATIO, AND INVESTMENT OPPORTUNITY SET ON STOCK RETURN (EMPIRICAL STUDY ON CONSUMER GOODS INDUSTRY SECTOR COMPANIES LISTED ON INDONESIA STOCK EXCHANGE FOR THE YEAR 2011-2013) [PDF]
, 2015 ABSTRAKPenelitian ini bertujuan untuk mengetahui dampak dari earnings per share, dividend payout ratio, debt to equity ratio, dan investment opportunity set, baik secara parsial dan simultan terhadap return saham.
FITRIA MANDARAIRA
core
Time Integrals Under the Black–Scholes–Merton and Margrabe Economies
Journal of Futures Markets, EarlyView.ABSTRACT The problem of integrating the Black, Scholes, and Merton (BSM) formula with respect to the time variable is paramount for an economist. Inspired by the real options literature, Shackleton and Wojakowski offer analytic formulae for valuing finite maturity (profit) caps and floors that are contingent on continuous flows following a lognormal ...
José Carlos Dias +3 more
wiley +1 more source
Analisis Pengaruh Earning Per Share (Eps) Dan Dividend Per Share (Dps) Terhadap Harga Saham Perusahaan Lq45 Yang Terdaftar Di Bursa Efek Indonesia (Bei) Tahun 2012 – 2015 [PDF]
, 2016 Penelitian ini bertujuan untuk mengetahui pengaruh Earning Per Share (EPS) atau Laba Per Lembar Saham dan Dividend Per Share (DPS) atau Dividen Per Lembar Saham terhadap Harga Saham Perusahaan yang tergabung dalam kelompok LQ45 yang terdaftar di Bursa ...
Jayani, J. (Jayani), Willem, W. (Willem)
core
Further Findings on the Intergenerational Transmission of Alcohol Consumption
Health Economics, EarlyView.ABSTRACT Using 43,817 parent–child pairs from 23 waves of the HILDA Survey, I study the intergenerational transmission of alcohol use within a rational model of trait transmission. Transmission is predominantly same‐sex: the mother–daughter elasticity is 0.10 and the father–son elasticity is 0.09; there is no father–daughter effect.
Sergey Alexeev
wiley +1 more source
DIVIDEND POLICY AND MARKET VALUE OF NIGERIAN LISTED DEPOSIT MONEY BANKS
Malete Journal of Accounting and FinanceThe two obvious choices involving amount the bank need for investments as well as for dividends distribution have been an issue. In most regulations, dividend payment had been withheld in order to satisfy investment decision as if it is not essential ...
Oyewole Oladunni AJIBOYE +2 more
doaj
Analisis Relevansi Dividend Yield dan Earning Per Share terhadap Penilaian Harga Saham Perusahaan Manufaktur yang Terdaftar di Bei [PDF]
, 2013 The purpose of this research is to analyze factors that affect stock price valuation manufacturing companies in Indonesia. The object of this study is manufacturing companies listed in Indonesia Stock Exchange (IDX). The examined factors of this research
Tamba, H. I. (HARTANTO)
core