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
KEBIJAKAN DIVIDEN DAN DAMPAKNYA PADA HARGA SAHAM (STUDI KOMPARATIF PADA PERUSAHAAN PERBANKAN DAN LEMBAGA KEUANGAN BUKAN BANK YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE TAHUN 2012-2014) [PDF]
, 2016 This research intends to analyze the influence of Dividend Yield, Retention Ratio, Earning per Share (or EPS), dan Return on Equity (or ROE) on the Stock Price.
ARYANTI, Rista Puput +2 more
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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
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
Analysis of the sensitivity to discrete dividends : A new approach for pricing vanillas [PDF]
The incorporation of a dividend yield in the classical option pricing model of Black- Scholes results in a minor modification of the Black-Scholes formula, since the lognormal dynamic of the underlying asset is preserved. However, market makers prefer to
Arnaud Gocsei, Fouad Sahel
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Pengaruh Kinerja Keuangan Terhadap Harga Saham Pada Perusahaan Lq45 Di Bursa Efek Indonesia Periode 2012-2014 [PDF]
, 2016 The share price is the value of a company's shares are traded on stock exchanges. For companies, the benchmark for the valuation of the company is to upgrade the company's stock price. Therefore, companies need to know the various factors that may affect
Astiti, N. P. (Ni)
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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
Stock Market Yields and the Pricing of Municipal Bonds [PDF]
This paper proposes an alternative to the traditional model for explaining the spread between taxable and tax-exempt bond yields. This alternative model is a special case of a general class of clientele models of portfolio choice and asset market ...
James M. Poterba, N. Gregory Mankiw
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Dividend valuation, trading and transactions costs: the 1997 partial abolition of dividend tax credit repayments [PDF]
, 2013 An earlier version of this article appeared as Accounting Working Papers 04/08Although UK resident tax-exempt shareholders lost the right to repayment of tax credits oil dividends paid by UK resident companies in July 1997, they could continue to receive
Hodgkinson, Lynn +2 more
core
Inconsistency of the Capital Asset Pricing Model in a Multi‐Currency Environment
International Journal of Finance &Economics, EarlyView.ABSTRACT The capital asset pricing model (CAPM) is a widely adopted model in asset pricing theory and portfolio construction because of its intuitive nature. One of its main conclusions is that there exists a global market portfolio that each rational investor should hold in proportion to the risk‐free asset. In this paper, we demonstrate theoretically
Khalifa Al‐Thani +4 more
wiley +1 more source