Results 11 to 20 of about 82,302 (43)

Can US Economic Variables Predict Chinese Stock Market?

, 2013
In the last few decades, we observed a significant increase in global economic activities and these activities may have an impact on both China’s economy and stock market.
Jeremy C. Goh, Fuwei Jiang, Yuchen Wang, Jeremy C. Goh, Fuwei Jiang, Jun Tu, Yuchen Wang, Wei Huang, Tuuli Koivu, Peter Phillips, D. Rapach, L. Solanko, Qian Sun, K. Wang   +13 more
semanticscholar   +1 more source

Industry Effects in Firm and Segment Profitability Forecasting

Contemporary Accounting Research, 2018
Academics and practitioners have long recognized the importance of a firm’s industry membership in explaining its financial performance. Yet, contrary to conventional wisdom, recent research shows that industry-specific profitability forecasting models ...
David Schröder, Andrew Yim
semanticscholar   +1 more source

FORECASTING WITH SOCIAL MEDIA: EVIDENCE FROM TWEETS ON SOCCER MATCHES

, 2018
Alasdair Brown, Dooruj Rambaccussing, J. Reade   +2 more
semanticscholar   +1 more source

Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks

, 2013
Shiu‐Sheng Chen
semanticscholar   +1 more source

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Predicting Future Earnings Changes Using Machine Learning and Detailed Financial Data

Journal of Accounting Research, 2022
We use machine learning methods and high-dimensional detailed financial data to predict the direction of one-year-ahead earnings changes. Our models show significant out-of-sample predictive power: the area under the Receiver Operating Characteristics ...
XI CHEN, Yang HA (TONY) CHO, Yiwei Dou, B. Lev   +3 more
semanticscholar   +1 more source

Machine-Learning the Skill of Mutual Fund Managers

Social Science Research Network, 2022
We show, using machine learning, that fund characteristics can consistently differentiate high from low-performing mutual funds, as well as identify funds with net-of-fees abnormal returns. Fund momentum and fund flow are the most important predictors of
Ron Kaniel, Zihan Lin, Markus Pelger, Stijn Van Nieuwerburgh   +3 more
semanticscholar   +1 more source

How Useful Are Tax Disclosures in Predicting Effective Tax Rates? A Machine Learning Approach

Accounting Review, 2023
We investigate (1) how well a machine learning algorithm can predict one-year ahead effective tax rates (ETRs) and (2) which items in the financial statements and notes are most useful for these predictions.
David A. Guenther, Kyle Peterson, J. Searcy, Brian M. Williams   +3 more
semanticscholar   +1 more source

Hot Potatoes: Underpricing of Stocks following Extreme Negative Returns

Journal of Banking & Finance, 2023
Although it is well established that investors are willing to accept a negative premium for lottery-like stocks, it is puzzling that the opposite effect is not observed in stocks experiencing large daily losses.
M. O. Caglayan, Edward R. Lawrence, Robinson Reyes-Peña   +2 more
semanticscholar   +1 more source

What Can Bayesian Inference Do for Accounting Research?

Journal of Financial Reporting, 2023
Bayesian statistics is a framework for combining new data with existing forms of information to yield more precise inferences than are possible using the data alone. Its greatest practical advantages are the flexibility it offers in incorporating prior
H. Schütt
semanticscholar   +1 more source

Liquidity Premium and Liquidity-Adjusted Return and Volatility: illustrated with a Liquidity-Adjusted Mean Variance Framework and its Application on a Portfolio of Crypto Assets

Social Science Research Network, 2023
We establish innovative measures of liquidity premium Beta on both asset and portfolio levels, and corresponding liquidity-adjusted return and volatility, for selected crypto assets. We develop liquidity-adjusted ARMA-GARCH/EGARCH representation to model
Qiandan Deng
semanticscholar   +1 more source