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A multi-objective portfolio optimization model incorporating sentiment analysis of quarterly reports and LSTM-based price prediction. [PDF]
PLoS OneTaheripour E, Sadjadi SJ, Amiri B.
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Entropic Dynamics of Jump-Diffusion Option Pricing. [PDF]
Entropy (Basel)Abedi M.
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Market liquidity and stock returns in the Norwegian stock market
Finance Research Letters, 2017Abstract We analyze the liquidity sensitivity of stock returns in the Norwegian stock market over the period 1983–2015. Even though the liquidity measures we apply are standard in the literature, we find no evidence of a relationship between returns and market liquidity.
Thomas Leirvik
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SSRN Electronic Journal, 2015
The standard disclaimer in the prospectus of any mutual fund reminds investors that "past performance is not necessarily indicative of future results." Despite the disclaimer, arguably a large fraction of investors looks at recent past performance to form expectations about future returns and "times the market" balancing portfolios on the basis of ...
Borri, Nicola, Cagnazzo, Alberto
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The standard disclaimer in the prospectus of any mutual fund reminds investors that "past performance is not necessarily indicative of future results." Despite the disclaimer, arguably a large fraction of investors looks at recent past performance to form expectations about future returns and "times the market" balancing portfolios on the basis of ...
Borri, Nicola, Cagnazzo, Alberto
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Regime switching in stock market returns [PDF]
Applied Financial Economics, 1997 An extension of Hamilton's Markov switching techniques (Hamilton, J. B., 1989, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57, 357–84) is used to describe and analyse stock market returns. Using new tests, very strong evidence is found for switching behaviour. A major innovation is to use a
Simon van Norden, Huntley Schaller
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Predicting Stock Returns in an Efficient Market
The Journal of Finance, 1990ABSTRACTAn intertemporal general equilibrium model relates financial asset returns to movements in aggregate output. The model is a standard neoclassical growth model with serial correlation in aggregate output. Changes in aggregate output lead to attempts by agents to smooth consumption, which affects the required rate of return on financial assets ...
Balvers, Ronald J +2 more
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Stock Market Returns and Annuitization
SSRN Electronic Journal, 2010I document a strong negative relationship between stock market returns and annuitization. Using a novel dataset with more than 103,000 actual payout decisions, I find that positive stock market returns decrease the likelihood of employees choosing an annuity over a lump sum, and vice versa.
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Entropy and predictability of stock market returns
Journal of Econometrics, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Maasoumi, Esfandiar, Racine, Jeff
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Market Microstructure and Stock Return Predictions
Review of Financial Studies, 1994To what extent are the empirical regularities implied by market microstructure theories useful in predicting the short-run behavior of stock returns A two-equation econometric model of quote revisions and transaction returns is developed and used to identify the relative importance of different microstructure theories and to make predictions ...
Huang, Roger D, Stoll, Hans R
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