Economists have long been fascinated by the sources of variations in the stock market. By the early 1970’s a consensus had emerged among …nancial economists suggesting that stock prices could be well approximated by a random walk model and that changes in stock returns were basically unpredictable. Fama (1970) provides an early, de…nitive statement of this position. Historically, the ‘random wa...

The positive relation between stock price changes and trading volume (price–volume relationship) as a stylized fact has attracted significant interest among finance researchers and investment practitioners. However, until now, consensus has not been reached regarding the causes of the relationship based on real market data because extracting valuable variables (such as information-driven trade ...

This thesis tries to answer the question how to predict the reaction of the stock market to news articles using the latest suitable developments in Natural Language Processing. This is done using text classification where a new article is matched to a category of articles which have a certain influence on the stock price. The thesis first discusses why analysis of news articles is a feasible ap...

M argin loans have long been associated in the popular mind with instability in security markets. Galbraith (1954) placed them at the center of the 1929 Crash, arguing that heavy borrowing from brokers exacerbated the rise in stock prices in the late 1920s and the stock price declines during the Crash. More recently, the analyses of the U.S. Securities and Exchange Commission (1988) and of the ...

An optimal investment problem is solved for an insider who has access to noisy information related to a future stock price, but who does not know the stock price drift. The drift is filtered from a combination of price observations and the privileged information, fusing a partial information scenario with enlargement of filtration techniques. We apply a variant of the Kalman-Bucy filter to infe...

Bivariate mixture models have been used to explain the stochastic behavior of daily price changes and trading volume on fmancial markets. In this class of m odels price changes and volume follow a mixture of bivariate distributions with the unobservable number of price relevant information serving as the mixing variable. The time series behavior of this mixing variable determines the dynamics o...

A firm is called to have stock price crash risk if the firm has a tendency to experience a sudden drop in its stock price. In this study, the relation between the firm-level of business strategy and future stock price crash risk Is examined, as well as the effect of stock overvaluation on the relationship between business strategy and crash risk investigated. Using the strategy index and crash ...