This paper presents statistical investigations regarding the value of the trend concept and calendar effects for prediction of stock returns. The examined data covers 207 stocks on the Swedish stock market for the time period 1987-1996. The results show a very weak trend behavior. The massive better part of returns falls into a region, where it is very difficult to claim any correlation between...

In recent years, machine learning research has gained momentum: New developments in the field of deep learning allow for multiple levels of abstraction and are starting to supersede wellknown and powerful tree-based techniques mainly operating on the original feature space. All these methods can be applied to various fields, including finance. This article implements and analyses the effectiven...

Voluntary disclosure is empowering the public to get more informed about company and portrays how organization wants outsiders perceive it in their decision-making process. provides information beyond compliance requirement by law. This study examined effect of voluntary on stock market return non-financial firms listed Nairobi Securities Exchange. The adopted positivism as data collection hypo...

a r t i c l e i n f o Due to the connections of energy uses, carbon emissions and climate, this study investigates the interactions, volatility spillovers, and long memory effects for carbon, oil, natural gas and coal markets by using FIEC-HYGARCH model. It also discusses the mediating effect of extreme weather. The empirical results verify that the FIEC-HYGARCH model can capture the long-term ...

This paper provides a Bayesian analysis of the historical risk premium in the US monthly portfolios returns. The study investigates the importance of non-traded economic risks in the pricing of securities. Incorporating model uncertainty in the post-selection inference is very important as it has implications in addressing crucial issues such as: (1) what sources of risks investors should track...

We propose a two-dimensional evaluation scheme for assessing the quality of implied cost of capital (ICC) estimates when price is noisy. Under fairly general assumptions, high-quality ICC estimates should: (a) better forecast future realized returns, and (b) better forecast future ICCs. Empirically, we compare seven alternative ICC estimates and show that several perform well along both dimensi...