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Rational Pessimism, Rational Exuberance, and Asset Pricing Models

RAVI BANSAL, A. RONALD GALLANT, GEORGE TAUCHEN
2007 The Review of Economic Studies  
In one model, the long run risks model of Bansal and Yaron (2004) , low frequency movements and time varying uncertainty in aggregate consumption growth are the key channels for understanding asset prices  ...  stock market.  ...  Parameter estimates and test statistics are based on simulations from the estimated models. Note. Prices are percent of the stock price at the time the option is written. Note.  ... 
doi:10.1111/j.1467-937x.2007.00454.x fatcat:3wjzzihwxrcyfc2vkvgvwgbu4q

International Journal of Economics and Finance Vol.1, No. 1, February 2009

Editor IJEF
2009 International Journal of Economics and Finance  
prices Granger-cause movements in the exchange rate via capital account transactions.  ...  They also used a much longer time period (15 years) and also utilised tests of co-integration.  ...  Some other findings show there is a meaningful relationship between dividend policy and return on stock but there is no meaningful relationship between dividend policy with firm size and book value to  ... 
doi:10.5539/ijef.v1n1p0 fatcat:jrt42fuonvdtdmps2ym6gxs5ty

Instability and Information [article]

Felix Patzelt
2015 arXiv   pre-print
, the question would be, "Which information can explain most of the price movements and their statistics?" (and on which time scales).  ...  That is, movement planning strategies which are based on information about predictable dynamics which is extracted from observations on the fly.  ...  The minimal balancing model is optimal given the restriction to a memory of two time steps.  ... 
arXiv:1511.03732v1 fatcat:qkp6t6iftvdihl2lrn3gvqsjjy

Imprecise Return Rates on the Warsaw Stock Exchange

Krzysztof Maciej Piasecki
2013 Social Science Research Network  
CONCLUSION In this paper, we examined the extreme co-movements between stock returns of indexes from Central and East Europe stock exchange markets using the copula approach.  ...  The changes concern: • interest rate: Polish WIBOR, • time scale: days, • rolling days: 1 day, • prices: last trading price, if not available, then reference price Based on this assumption value of volatility  ...  measurement based on… 213 scale-by-scale basis.  ... 
doi:10.2139/ssrn.2270138 fatcat:by6j7klumzezbjxrfbgtn72xlq

A Risk Perception Primer: A Narrative Research Review of the Risk Perception Literature in Behavioral Accounting and Behavioral Finance

Victor Ricciardi
2004 Social Science Research Network  
In particular, the work of the Decision Research scholars including Paul Slovic and his co-authors on risk perception studies that have crossed over from psychology to the disciplines of behavioral accounting  ...  A major facet of this paper was to bring together all the previous studies in the risk perception literature for the purpose of conducting a study based on the academic foundation of the main themes, research  ...  stock on a scale of 1 (unfamiliar) to 9 (extremely familiar) over a two-week time period for a group of 25 stocks.  ... 
doi:10.2139/ssrn.566802 fatcat:26m3vfy5jbfpva62auiakkacvi

Critical market crashes

D Sornette
2003 Physics reports  
The concept of an "anti-bubble" is also summarized, with two forward predictions on the Japanese stock market starting in 1999 and on the USA stock market still running.  ...  that his co-workers and the author have developed over the past seven years.  ...  Each agent can trade at time t − 1 at the price p(t − 1) based on all previous information including that at t − 1.  ... 
doi:10.1016/s0370-1573(02)00634-8 fatcat:ehdr5bqp2bftdepb476pnkavje

Full Text PDF of The JBBA, Volume 2 Issue 2, October 2019

Naseem Naqvi
2019 The Journal of British Blockchain Association  
[6] try to predict Bitcoin price (up/down) using sentiment analysis on Twitter, and report that the sentiment change over a 30-minute period is useful for predicting price movement of 2 hours later,  ...  [6] try to predict Bitcoin price (up/down) using sentiment analysis on Twitter, and report that the sentiment change over a 30-minute period is useful for predicting price movement of 2 hours later,  ...  For vertical axis, they are ranked by market capitalizations from the top (large) to the bottom (small). iv Accessed on Mar 14, 2018: https://www.cnbc. com/2017/11/27/bitcoin-exchange-coinbase-hasmore-users-than-stock-brokerage-schwab.html  ... 
doi:10.31585/jbba-2-2-(full)2019 fatcat:lsnv4wnuhvhpne33puatdc4p4e

Accounting anomalies and fundamental analysis: A review of recent research advances

Scott Richardson, İrem Tuna, Peter Wysocki
2010 Journal of Accounting & Economics  
The mere finding of an association between an accounting attribute and future stock returns is not prima facie evidence of market inefficiency.  ...  Journal of Accounting and Economics 50 (2010) 410-454 organizing principle for research on accounting anomalies and fundamental analysis. 1 While we recognize the co-existence of other accounting properties  ...  An investor is concerned about co-movement in the securities that she holds in her portfolio.  ... 
doi:10.1016/j.jacceco.2010.09.008 fatcat:dl64yzgltvecpboz3gyf5pldmi

Accounting Anomalies and Fundamental Analysis: A Review of Recent Research Advances

Scott A. Richardson, Peter D. Wysocki, A. Irem Tuna
2010 Social Science Research Network  
The mere finding of an association between an accounting attribute and future stock returns is not prima facie evidence of market inefficiency.  ...  Journal of Accounting and Economics 50 (2010) 410-454 organizing principle for research on accounting anomalies and fundamental analysis. 1 While we recognize the co-existence of other accounting properties  ...  An investor is concerned about co-movement in the securities that she holds in her portfolio.  ... 
doi:10.2139/ssrn.1762124 fatcat:dgc4uwh7u5fdrgygqagxnk3uhq

How Entrepreneurial Firms Prosper while Larger Firms Crumble

P. K. Shukla
2009 International Journal of Business and Management  
The Technical analysis, on the other hand, implies that by observing and studying the historical information about the behavior of a given stock, one can predict the future price movements of the security  ...  Several studies address the issue of whether stock price behaviour is a random walk or not. Robert (1959) and Osborne (1959) found that stock price movement follows a random walk.  ...  Optimal return at this time is 1200,000.  ... 
doi:10.5539/ijbm.v4n3p3 fatcat:n6aggtoyanenpnge7qsmzbh6uu

The Vessel Schedule Recovery Problem (VSRP) – A MIP model for handling disruptions in liner shipping

Berit D. Brouer, Jakob Dirksen, David Pisinger, Christian E.M. Plum, Bo Vaaben
2013 European Journal of Operational Research  
delivery is crucial for the business to continue in spite of continuous change.This study aims to propose a model to predict the optimum time of van deliveries.Factors influencing the delivery process  ...  The problem is framed as a multi-indicator assessment and is solved using a minimal cost objective.  ...  -Optimal Dynamic Tax Evasion: A Portfolio Approach Francesco Menoncin, Economics, Brescia University, Via S. Faustino, 74/B, 25122, Brescia, Italy, menoncin@eco.unibs.it, Rosella Levaggi  ... 
doi:10.1016/j.ejor.2012.08.016 fatcat:c27kagfnxnhjfbil2rydhjhomm

Cluster Analysis of Young Online Consumers in Indian Context

Dipanjay Bhalerao
2015 ANVESHAK-International Journal of Management  
The continued expression of gender discrimination begs for redress within organizations, not only because it may affect the optimal movement of talent between organizational ranks, but also because it  ...  movements.  ...  browsing. 10 IB convenience The online shopping experience is better than offline. 11 IB convenience Online gifts purchases are easy in urgency than the offline purchase. 12 IB Affordability I get better price  ... 
doi:10.15410/aijm/2015/v4i2/67730 fatcat:77idyos2snhodduz4a7tqkpume

A multi-model approach to engaging stakeholder and modellers in complex environmental problems

Elizabeth A. Fulton, Fabio Boschetti, Miriana Sporcic, Tod Jones, L. Richard Little, Jeffrey M. Dambacher, Randall Gray, Roger Scott, Rebecca Gorton
2015 Environmental Science and Policy  
The user is asked to predict the amount of water in the bathtub (the stock at time t) as a function of how much water enters and exits at different times (the flows): Stock(t+1) = Stock(t) + Inflow(t)  ...  of industry and market scenarios) port rule based (level of use and need for extension driven by demand from industries) petrol prices time series road network data layer (that can be updated based on  ... 
doi:10.1016/j.envsci.2014.12.006 fatcat:qvv4sfwlpffj3h5c3hxehzhkiq

{'en_US': 'Acta Universitatis Danubius. Œconomica, Vol. 6, No. 3'}

Collective Authors
2021 Acta Universitatis Danubius: Oeconomica  
However, the full membership was seen to be dependent on time due to concerns about the relative economic backwardness of Turkey.  ...  Turkey's relations with EU (EEC, EC) is analyzed, not from a perspective of chronological listing of events, but from the perspective of determining the changes over time in opinions of major groups and  ...  He found that he could not identify any predictable patterns in stock prices and prices seemed to evolve randomly. Thus, the data provided no way to predict price movements.  ... 
doaj:f0cd6380d2eb46c795d40520f4290450 fatcat:pbjc2rnprzacfpkku7dh35xrtm

Multifractal analysis of financial markets [article]

Zhi-Qiang Jiang , Didier Sornette
2018 arXiv   pre-print
We survey the cumulating evidence for the presence of multifractality in financial time series in different markets and at different time periods and discuss the sources of multifractality.  ...  We review the multifractal analysis methods and multifractal models adopted in or invented for financial time series and their subtle properties, which are applicable to time series in other disciplines  ...  They found that the MRW model provides smallest mean absolute prediction errors for all time series and at all prediction scales.  ... 
arXiv:1805.04750v1 fatcat:dtwjemhhxjcxhibzthx6rrmdom
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