Abstract Motivated by the potential inferences from intraday price data in controversial Bitcoin market, we apply functional analysis techniques to study cumulative return (CIDR) curves. First, indicate that CIDR curves are stationary, non-normal, uncorrelated, but exhibit conditional heteroscedastic, although find projection scores of could be serially correlated during some certain periods. S...

The ability to make prediction based on online searches in various contexts is gaining substantial interest in both research and practice. This study investigates a novel application of correlated online searches in predicting stock performance across supply chain partners. If two firms are economically dependent through supply chain relationship and if information related to both firms diffuse...

Despite abundant evidence that firms’ characteristics predict their asset returns, we know little about how much firms’ asset prices deviate from their true values. Such mispricing could be distinct from observed return predictability if investors have biased beliefs that are not highly correlated with firms’ characteristics. We use a model to estimate the extent of information processing biase...

We characterize the joint dynamics of expected returns, stochastic volatility, and prices. In particular, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend ratio fully determines the other two. For example, the stock volatility determines the expected return and the price-dividend ratio. By parameterizing one, or more, of exp...

Predictability of the return on the market portfolio is a well established fact. This study shows that predictability is a more general phenomenon and it extends to return indices of the U.S. states. At the state level, the consumption trend deviation of Lettau and Ludvigson, and the collateral ratio of Lustig and Van Nieuwerburgh can predict short-term and long-term state-level returns. The st...

Information theory provides tools and techniques to measure the fundamental limits of predictability. Apart from this formal basis, researchers have attempted to construct so-called ‘optimal’ predictors in order to conduct limits studies for different aspects of program predictability (such as branch outcomes and method return values). This paper reports on two case studies for branch predictio...

In building a business case for increased process maturity, a measurable return for each benefit must be established. Increased predictability is known to be one of the benefits of process improvement. However, quantifying financial benefits from improvements in predictability is not as straightforward as quantifying financial benefits of other improvements such as increased productivity and de...