Results 141 to 150 of about 15,148 (305)

Elusive return predictability: Discussion [PDF]

, 2007
Two major conclusions follow from this very careful study. First, sophisticated prediction tools do not fare well relative to naive models predicting return based on past sample means.
Brown, Stephen J.
core  

Potential losses from incorporating return predictability into portfolio allocation

, 2013
The extant literature demonstrates the importance of stock return predictability for portfolio allocation. The usefulness of incorporating return predictability into portfolio decisions is most evident for Bayesian investors who build their portfolios ...
Tang, Y
core   +1 more source

Understanding Egg Price Volatility and Policy Implications in the U.S. With Machine Learning

Applied Economic Perspectives and Policy, EarlyView.
ABSTRACT Eggs are an inexpensive and sustainable source of proteins, but volatility in the U.S. egg prices has intensified in recent years, raising concerns over food affordability and market stability. This study examines the drivers of U.S. egg price dynamics over 2004–2025 using a two‐stage framework that combines LASSO‐based variable selection with
Xuemei Zhao, Simon Meister, Lucie Maruejols, Xiaohua Yu   +3 more
wiley   +1 more source

Foreign labor, peer‐networking and agricultural efficiency in the Italian dairy sector

Agribusiness, EarlyView.
Abstract While the presence of immigrants in the agricultural sector is widely acknowledged, the empirical evidence on its economic consequences is lacking, especially from a microeconomic perspective. Using the Farm Accountancy Data Network panel data for Italian dairy farms in the period 2008–2018, the present study investigates the relationship ...
Federico Antonioli, Simone Severini, Mauro Vigani   +2 more
wiley   +1 more source

Classifying Factor Velocity with Swarm Intelligence: Market Pricing of Fast- and Slow-Moving Factors

Algorithms
Utilizing a dataset of 190 risk factors spanning over three decades, we apply a swarm-based classification model to estimate factor velocity and analyze its implications for asset pricing.
Ren-Raw Chen, Mengjie Huang, Yi Tang
doaj   +1 more source

Estimation Risk, Market Efficiency, and the Predictability of Returns [PDF]

In asset pricing, estimation risk refers to investor uncertainty about the parameters of the return or cashflow process. We show that with estimation risk the observable properties of prices and returns can differ significantly from the properties ...
Jay Shanken, Jonathan Lewellen
core  

The Relationship Between Interest Rates and Agricultural Commodity Price Dynamics

Agribusiness, EarlyView.
ABSTRACT The U.S. Federal Reserve has undertaken several interest rate interventions in the past decade. This study explores the relationship between U.S. corn and soybean prices and Federal Reserve monetary policy interventions, in the short and long run.
Zhining Sun, Ani L. Katchova
wiley   +1 more source

Sentiment-semantic word vectors: A new method to estimate management sentiment

Swiss Journal of Economics and Statistics
This paper introduces a novel method to extract the sentiment embedded in the Management’s Discussion and Analysis (MD &A) section of 10-K filings. The proposed method outperforms traditional approaches in terms of sentiment classification accuracy ...
Tri Minh Phan
doaj   +1 more source

Topological Properties of International Commodity Market: How Uncertainty Affects the Linkages?

Agribusiness, EarlyView.
ABSTRACT The study aims to explore the network topology of the international commodity market by examining the interconnections among 21 commodity futures across various categories, including energy, precious and industrial metals, and agriculture. We analyze the market structure of these commodity futures under both low and high uncertainty conditions
Ibrahim Yagli, Bayram Deviren
wiley   +1 more source

Import Wheat Tenders and the Effects of the Russian Invasion

Agribusiness, EarlyView.
ABSTRACT Risk and volatility for many commodities escalated sharply following the Russian invasion of Ukraine, creating numerous uncertainties for trading firms and importers. The purpose of this study is to analyze the bidding behavior in Egyptian wheat import tenders in the pre‐ and post‐invasion periods.
William W. Wilson, Sumadhur Shakya, Isaac Dubovoy   +2 more
wiley   +1 more source