Results 21 to 30 of about 1,694,940 (299)
Option volume and stock returns: evidence from single stock options on the Korea Exchange [PDF]
Seonmul yeongu, 2021 Informed traders may prefer the options market to the stock market for reasons including the leverage effect, transaction costs, restrictions on short sale.
Mincheol Woo, Meong Ae Kim
doaj +1 more source
Jackknifing Stock Return Predictions [PDF]
SSRN Electronic Journal, 2008 We show that the general bias reducing technique of jackknifing can be successfully applied to stock return predictability regressions. Compared to standard OLS estimation, the jackknifing procedure delivers virtually unbiased estimates with mean squared errors that generally dominate those of the OLS estimates.
Benjamin Chiquoine, Erik Hjalmarsson
openaire +2 more sources
Timing the market: the economic value of price extremes
Financial Innovation, 2018 By decomposing asset returns into potential maximum gain (PMG) and potential maximum loss (PML) with price extremes, this study empirically investigated the relationships between PMG and PML. We found significant asymmetry between PMG and PML.
Haibin Xie, Shouyang Wang
doaj +1 more source
Predictable Return Distributions [PDF]
SSRN Electronic Journal, 2010 Using quantile regression this paper explores the predictability of the stock and bond return distributions as a function of economic state variables. The use of quantile regression allows us to examine specific parts of the return distribution such as the tails and the center, and for a sufficiently fine grid of quantiles we can trace out the entire ...
openaire +3 more sources
Time-varying stock return predictability: the Eurozone case
Notas Económicas, 2015 In this paper, we test the existence of predictability in eleven Eurozone stock markets, using both regressions with constant coefficients and with time-varying coefficients.
Nuno Silva
doaj +1 more source
COVID-19 and instability of stock market performance: evidence from the U.S.
Financial Innovation, 2021 The effect of COVID-19 on stock market performance has important implications for both financial theory and practice. This paper examines the relationship between COVID-19 and the instability of both stock return predictability and price volatility in ...
Hui Hong, Zhicun Bian, Chien-Chiang Lee
doaj +1 more source
Scientific Annals of Economics and Business, 2023 In this paper, we examine the Portuguese stock market for indication of time-series momentum effects using a new historical financial dataset that covers about 120 years of data.
Júlio Lobão, Ana Rosário
doaj +1 more source
Elusive return predictability [PDF]
International Journal of Forecasting, 2008 Abstract Investors' searches for successful forecasting models cause the data generating process for financial returns to change over time, which means that individual return forecasting models can, at best, hope to uncover evidence of ‘local’ predictability.
openaire +2 more sources
Examining the effects of behavioral biases of investors on Tehran Stock Exchange efficiency using trends and consistency in firms’ financial performance during 1997-2006 [PDF]
Problems and Perspectives in Management, 2016 The present study investigates the effects of behavioral biases on the efficiency of Tehran stock exchange. In fact, these biases are the mistakes that individuals make while making financial decisions. The methodology of this research is that firms with
Bahman Gholami +2 more
doaj +1 more source
Predicting Returns with Financial Ratios [PDF]
SSRN Electronic Journal, 2002 This article provides a new test of the predictive ability of aggregate financial ratios. Predictive regressions are subject to small-sample biases, but the correction in previous studies can substantially understate forecasting power. Dividend yield predicts aggregate market returns from 1946 - 2000, as well as in various subperiods.
openaire +2 more sources