نتایج جستجو برای: رگرسیون چندگانه طبقه بندی موضوعی c12 c31 g10 g12 g14
تعداد نتایج: 118568 فیلتر نتایج به سال:
Using 5-year credit default swap (CDS) contracts on 1,247 U.S. firms from 2003 2011, we show a 3-month formation and 1-month holding period CDS momentum strategy yields 52 bps per month. By incorporating past CDS return signals, we further show traditional stock momentum strategies avoid abrupt losses during the crisis period and improve their performance by net 104 bps per month. Both within C...
We test the no-trade theorem in a laboratory financial market where subjects can trade an asset whose value is unknown. Subjects receive clues on the asset value and then set a bid and an ask at which they are willing to buy or to sell from the other participants. In treatments with no gains from trade, we should observe no trading activity, whereas, in treatments with gains, trade becomes theo...
We estimate an empirical model of consumption disasters using new data on consumption for 24 countries over more than 100 years, and study its implications for asset prices. The model allows for partial recoveries after disasters that unfold over multiple years. We find that roughly half of the drop in consumption due to disasters is subsequently reversed. Our model generates a sizable equity p...
We study the trading of individual investors using transaction data and identifying buyeror seller-initiated trades. We document four results: (1) Small trade order imbalance correlates well with order imbalance based on trades from retail brokers. (2) Individual investors herd. (3) When measured annually, small trade order imbalance forecasts future returns; stocks heavily bought underperform ...
طبقه بندی پوشش زمین یکی از کاربرد های مهم استفاده از داده های سنجش از دوری است. از میان تصاویر و دادههای مورد استفاده در این مورد، داده های پلاریمتری راداری به خاطر امکان استخراج ویژگی های زیاد و متنوع میتوانند برای طبقه بندی گزینه مناسبی باشند. در این مقاله یک روش عارضه مبنا برای طبقه بندی مناطق شهری با استفاده از داده های پلاریمتری راداری به صورت تلفیق نتایج پیکسل مبنای طبقه بندی SVM و قطعات...
This paper investigates the performance of hedge funds adjusted for higher order risk factors. Traditional risk-adjusted performance measures are subject to size distorted in the presence of skewness and kurtosis. A residual augmented least squares approach to model higher order risk moments in returns allows us to estimate a robust risk-adjusted performance measure for hedge funds. In a compar...
This paper provides evidence that “illusory correlations,” a well-documented source of cognitive bias, leads some agents to be imperfectly rational noise traders. We identify illusory correlations by focusing on the head-and-shoulders chart pattern. Though this is considered one of the most reliable technical trading signals, our evidence indicates that the signal does not profitably predict di...
This paper studies the implications for monetary policy of heterogeneous expectations in a New Keynesian model. The assumption of rational expectations is replaced with parsimonious forecasting models where agents select between predictors that are underparameterized. In a Misspecification Equilibrium agents only select the best-performing statistical models. We demonstrate that, even when mone...
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identifiers at a tick transaction level. Jumps are frequent events and they cluster in time. The order flow imbalance and the preponderance of aggr...
This study analyzes the market quality differences, in terms of liquidity and volatility, between Real Estate Investment Trusts (REITs) and non-REIT common stocks. The 2008 financial crisis has significantly influenced the market quality for REITs. Our findings reveal intraday patterns indicating a lower liquidity, higher volatility, and greater price impact for REITs than nonREITs for pre-cris...
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