On the out-of-sample predictability of stock market returns [PDF]
In this paper, we provide new evidence of the out-of-sample predictability of stock returns. In particular, we find that the consumption-wealth ratio in conjunction with a measure of aggregate stock market volatility exhibits substantial out-of-sample ...
Hui Guo
core
Does Participating in Agricultural Global Value Chains Promote Agricultural Growth?
Agribusiness, EarlyView.ABSTRACT This study examines the relationship between GVC participation and agricultural value‐added growth in 43 countries over the period 1995–2022. In contrast to prior literature, we disaggregate the agricultural sector into four sub‐sectors namely crop cultivation, animal production, forestry and fishing.
Taner Turan +2 more
wiley +1 more source
TESTING THE EFFICIENCY MARKET HYPOTHESIS FOR THE ROMANIAN STOCK MARKET [PDF]
Efficient Market Hypothesis has dominated the field of research on capital markettheory. It states that asset prices are rationally connected to economic realities and alwaysincorporate all the information available to the market. In this way, securities
Bogdan Dima, Laura Raisa Milos
core
Pesticide MRLs as Trade Barriers: Evidence From Vietnam's Coffee and Rice Exporters
Agribusiness, EarlyView.ABSTRACT As tariffs have declined globally through bilateral and regional trade agreements, food safety standards have emerged as significant determinants of agricultural trade flows. This study examines the impact of maximum residue limits (MRLs) for five pesticides—Azoxystrobin, Chlorpyrifos, Chlorantraniliprole, Clothianidin, and Cyhalothrin—on ...
Nhat Mai Nguyen +2 more
wiley +1 more source
Predictability in Stock Returns in an Emerging Market: Evidence from KSE 100 Stock Price Index [PDF]
We investigate the persistence in monthly KSE100 excess stock returns over the Treasury bills rates using non-Gaussian state space or unobservable component model with stable distributions and volatility persistence.
Khurshid M. Kiani
core
When the River Runs Low: Heterogeneous Impacts of Transportation Disruptions on Local Grain Basis
Agribusiness, EarlyView.ABSTRACT A substantial share of U.S. soybean and corn exports from the Midwest moves by barge along the Mississippi River system to export terminals in the Louisiana Gulf. Transportation costs between Midwestern grain elevators and export terminals create a wedge between prices at these locations, and shocks to these costs are partially passed on to ...
Yuan Zhang +3 more
wiley +1 more source
Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales [PDF]
Most of the papers that study the distributional and fractal properties of financial instruments focus on stock prices or foreign exchange rates. This typically leads to mixed results concerning the distributions of log-returns and some multi-fractal ...
Eckhard Platen +2 more
core
Vertical Price Transmission in Food Markets: New Evidence From Meta‐Analysis
Agribusiness, EarlyView.ABSTRACT A growing body of empirical research has examined price dynamics along the food supply chain, yet findings remain heterogeneous and often conflicting. This study conducts a meta‐analysis of 140 studies, totaling 652 observations, to examine (1) the reported presence of asymmetric price transmission and (2) the reported direction of price ...
Sushan K C +2 more
wiley +1 more source
Stock Market Interactions and the Impact of Macroeconomic News – Evidence from High Frequency Data of European Futures Markets [PDF]
This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements.
Bea Canto, Roman Kräussl
core
Value of Information of Improved Traceability in Fresh Produce Markets
Agribusiness, EarlyView.ABSTRACT Traceability plays an important role in promoting a safe food supply by fostering transparent information exchange along the food supply chain. New technological innovations have the potential to improve traceability outcomes, as greater transparency along the food supply chain can aid in pinpointing precise origins of the contamination ...
Kelsey Vourazeris +2 more
wiley +1 more source